A new approach to risk assessment in fuzzy portfolio selection

• Autorzy: Dymowa L.
• Języki publikacji: EN

Abstrakty

EN

A new approach to risk assessment in the portfolio selection optimization problem in a fuzzy setting is presented. The approach is based on the a-level representation of fuzzy values describing the stock's returns. The two-objective method based on the weighted lower and upper bounds of fuzzy portfolio return is elaborated. In the framework of proposed approach these bound represent the local criteria of risk minimization and profit maximization, respectively. Three most popular methods for local criteria aggregation are compared using the example of portfolio consist of five alternative stocks. The results are compared with those obtained with use of single criterion approaches to portfolio optimization in a fuzzy setting. It is shown that proposed method provides the results which more coincide with the practice of portfolio selection than those obtained using the fuzzy versions of reputed single criterion approaches. The method makes it possible to take into account in a natural way the local criteria of portfolio return maximization and risk minimization with their ranks. The problem is formulated as the nonlinear optimization task, so all possible forma of stock return's membership function can be used without restrictions. Since the generalized criterion is formulated as the aggregation of local criteria, the method may be easily extended by the inclusion of additional criteria such as stock's liquidity, transaction costs and so on.

Słowa kluczowe

EN

portfolio selection; risk assessment; fuzzy sets

• Wydawca: Wydawnictwo Politechniki Częstochowskiej
• Czasopismo: Informatyka Teoretyczna i Stosowana
• Rocznik: 2006
• Tom: R. 6, nr 10
• Strony: 7--18
• Opis fizyczny: Bibliogr. 18 poz., rys., tab.

Twórcy

autor

Dymowa L.

• High School of Economy and Administration in Kielce Karczówkowska 41, 25o713 Kielce

Bibliografia

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