Influence of membership function’s shape on portfolio optimization results

• Autorzy: Rutkowska A.

Identyfikatory

DOI

10.1515/jaiscr-2016-0005

• Języki publikacji: EN

Abstrakty

EN

Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membership function’s shape on the result of fuzzy portfolio optimization and focused on portfolio selection problem based on credibility measure. Four different shapes of the membership function are examined in the context of the most popular optimization problems: mean-variance, mean-semivariance, entropy minimization, value-at-risk minimization. The analysis takes into account both: the study of necessary and sufficient conditions for the existence of extremes, as well as the statistical inference about the differences based on simulation.

Słowa kluczowe

EN

fuzzy variable; membership function; fuzzy portfolio optimization

• Wydawca: University of Social Sciences
• Czasopismo: Journal of Artificial Intelligence and Soft Computing Research
• Rocznik: 2016
• Tom: Vol. 6, No. 1
• Strony: 45--54
• Opis fizyczny: Bibliogr. 17 poz., rys.

Twórcy

autor

Rutkowska A.

• Department of Applied Mathematics Poznan University of Economics and Business al. Niepodleglosci, 61-875 Poznan, Poland

Bibliografia

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Uwagi

PL

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę.