Asset portfolio optimization using fuzzy mathematical programming

被引:129
作者
Gupta, Pankaj [1 ]
Mehlawat, Mukesh Kumar [1 ]
Saxena, Anand [2 ]
机构
[1] Univ Delhi, Dept Operat Res, Delhi 110007, India
[2] Univ Delhi, Deen Dayal Upadhyaya Coll, Dept Commerce, Delhi 110007, India
关键词
fuzzy sets; portfolio selection; fuzzy mathematical programming; risk; semi-absolute deviation; multi criteria decision making;
D O I
10.1016/j.ins.2007.10.025
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
By morphing mean-variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors' pursuing either of the aggressive or conservative strategies. (c) 2007 Elsevier Inc. All rights reserved.
引用
收藏
页码:1734 / 1755
页数:22
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