Application of fuzzy measures and interval computation to financial portfolio selection

As many data-driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decisionmaking problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decision-theoretic perspective and show how to address this problem using fuzzy measures and fuzzy integrals. C © 2010 Wiley Periodicals, Inc.