Fuzzy portfolio optimization : theory and methods

Yong Fang, Kin Keung Lai, Shouyang Wang

This is the first monograph on fuzzy portfolio optimization. By using fuzzy mathematical approaches, quantitative analysis, qualitative analysis, the experts' knowledge and the investors' subjective opinions can be better integrated into portfolio selection models. The contents of this book mainly comprise of the authors' research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors introduce some other important progress in the field of fuzzy portfolio optimization. Some fundamental issues and problems of portfolio selection have been studied systematically and extensively by the authors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio selection models are given and some of them are more efficient for practical applications. Some application examples are given to illustrate those models.

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  • Literature Review.- Survey for Portfolio Selection Under Fuzzy Uncertain Circumstances.- Portfolio Selection Models Based on Fuzzy Decision Making.- Fuzzy Decision Making and Maximization Decision Making.- Portfolio Selection Model with Fuzzy Liquidity Constraints.- Ramaswamy's Model.- Leon-Liern-Vercher's Model.- Fuzzy Semi-absolute Deviation Portfolio Rebalancing Model.- Fuzzy Mixed Projects and Securities Portfolio Selection Model.- Portfolio Selection Models with Interval Coefficients.- Linear Programming Model with Interval Coefficients.- Quadratic Programming Model with Interval Coefficients.- Portfolio Selection Models with Possibility Distribution.- Tanaka and Guo's Model with Exponential Possibility Distributions.- Carlsson-Fuller-Majlender's Trapezoidal Possibility Model.- Center Spread Model in Fractional Financial Market.- Fuzzy Passive Portfolio Selection Models.- Fuzzy Index Tracking Portfolio Selection Model.

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書名 Fuzzy portfolio optimization : theory and methods
著作者等 Fang, Yong
Lai, Kin Keung
Wang, Shouyang
Wang Shou Yang
シリーズ名 Lecture notes in economics and mathematical systems
出版元 Springer
刊行年月 c2008
ページ数 ix, 172 p.
大きさ 24 cm
ISBN 9783540779254
NCID BA8582403X
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言語 英語
出版国 ドイツ