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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


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.



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