Quantitative risk management (QRM, for short) is very important investors or financial institutions. This paper discusses portfolio selection in fuzzy environments by means of stochastic and methods. Two measures called hierarchical value-at-risk (HFVaR, conditional (HFCVaR, are proposed. And then models established based on the measure HFCVaR.

The focus of this papere is to present an intuitive enduser Decision Support System (DSS) for portfolio selection based on Mean-Variance (M-V) Model of portfolio selection by Markowitz [1952, 1991]. The DSS utilizes a Goal Linear Programming (GLP) model for fulfiling the investor’s objectives and preferences in terms rate of return, risk and asset allocation and diversification in order to reac...

The possible application of fuzzy sets theory in strategic management to the problem of portfolio matrices analysis, used for strategy alternative(s) formulation and selection is described. The values of membership functions of input variables into portfolio matrices are combined with di erent t-norms: (a) TM (x; y) = min(x; y); (b) TP(x; y) = xy; (c) Sugeno’s t-norms; (d) Hamacher’s t-norm fam...

This paper deals with the problem of multiperiod portfolio selection, where borrowing and lending are allowed with different rates. Indeed, this work is mainly based on a recently published paper with the same subject. In this paper the underlying problem of multiperiod portfolio selection with different borrowing and lending rates is reformulated. After a thorough discussion about both concept...

We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework. We assume that the return on a given portfolio is modeled by means of LR-type fuzzy variables, whose credibility distributions collect the contemporary relationships among the returns on individual assets. To consider credibility measu...

This paper considers several portfolio selection problems considering Socially Responsible Investment (SRI), which is the most important measure to sustain continuous developments of companies by performing environment-friendliness and suitable social activity, and which is also essential for avoiding the latent risk. Corporate Social Responsibility (CSR) is presented as linguistic and ambiguou...

Based on credibilistic value-at-risk (CVaR) of regularfuzzy variable, we introduce a new CVaR reduction method fortype-2 fuzzy variables. The reduced fuzzy variables arecharacterized by parametric possibility distributions. We establishsome useful analytical expressions for mean values and secondorder moments of common reduced fuzzy variables. The convex properties of second order moments with ...