基于有效边界分析的模糊投资组合选择

2011 11th International Conference on Intelligent Systems Design and Applications Pub Date : 2011-11-01 DOI:10.1109/ISDA.2011.6121765

Clara Calvo, C. Ivorra, V. Liern

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引用次数: 0

摘要

我们提出了一种算法，用于分析具有半连续变量和基数约束的投资组合选择问题的有效边界的几何形状，并将其作为解决该问题的模糊版本的基础，该问题旨在获得马科维茨意义上的有效投资组合，其中预期收益和承担风险之间的权衡更符合投资者的主观标准。我们用LINGO和Mathematica解决的一个例子来说明我们的建议。

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Fuzzy portfolio selection based on the analysis of efficient frontiers

We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz's sense, for which the trade-off between expected return and assumed risk fits better the investor's subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.

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2011 11th International Conference on Intelligent Systems Design and Applications

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