A downside risk approach for the portfolio selection problem with fuzzy returns
Teresa León, Vicente Liern, Paulina Marco, Enriqueta Vercher. Universitat de València
José Vicente Segura. Universidad Miguel Hernández
- Fuzzy Economic Review: Volume IX, Number 1. May 2004
- DOI: 10.25102/fer.2004.01.04
Abstract
This paper presents a new possibilistic programming approach to the portfolio selection problem. It is based on two issues: the approximation of the rates of return on securities by means of fuzzy numbers of trapezoidal form, for which we use the interval-valued ex-pectation defined by Dubois and Prade (1987), and the perception that down-side risk is a more realistic description of an investor's preferences. We use a data set from the Spanish stock market to illustrate the performance of our method.