Fuzzy mean–variance–skewness portfolio selection models by interval analysis

Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach

This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz meanvariance MV portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors’ different investment appetite and thus can find the optimal resolution for each interval. In the empiri...

Optioned Portfolio Selection: Models and Analysis

We study in this paper the portfolio selection problem with a stock index and European style options on the index. A refined mean-variance methodology is adopted in the study. Single-stage and two-stage investment models are studied and solved. In the later case a scenario tree and stochastic programming formulation are used. Explicit forms of the optimal portfolio and its corresponding efficie...

Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach

Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...

A multi-period portfolio selection optimization model by using interval analysis

sustainable construction project portfolio selection under interval- valued type-2 fuzzy sets

choosing the right set of projects is the first step of project oriented firms in strategic project portfolio management. since economic growth depends on environmental and social issues, sustainable development has been an essential part of firms' plans to keep their competitive advantage. moreover, market conditions, fast worldwide changes and other similar issues have given these issue ...