Fuzzy Genetic System for Modelling Investment Portfolio

Autor:	Rahib H. Abiyev, Mustafa Menekay
Rok vydání:	2006
Předmět:	Fuzzy transportation Operations research Computer science Fuzzy set Portfolio Risk–return spectrum Post-modern portfolio theory Portfolio optimization Fuzzy logic Defuzzification
Zdroj:	Lecture Notes in Computer Science ISBN: 9783540366676 PRICAI
DOI:	10.1007/978-3-540-36668-3_74
Popis:	The business environment is fully characterized with uncertainties. In order to minimize risk and maximize future returns proper portfolio model must be designed. In this paper the application of fuzzy theory to portfolio selection is presented. Fuzzy logic is utilized in the estimation of expected return and risk. Using fuzzy logic, managers can extract useful information and estimate expected return by using not only statistical data, but also economical and financial behaviours of the companies and business strategies. In the formulated fuzzy portfolio model, fuzzy set theory gives chance of possibility trade-off between risk and return. This is obtained by assigning satisfaction degree between criteria and constraints and defining tolerance for the constraints in order to obtain goal value in objective risk function. Using the formulated fuzzy portfolio model, a Genetic Algorithm (GA) is applied to find optimal values of risky securities. The obtained results satisfy the efficiency of the proposed method.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b41e3b2f3172784ecd9512d81de12f5f https://doi.org/10.1007/978-3-540-36668-3_74 Zobrazit plný text záznamu