<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membership function’s shape on the result of fuzzy portfolio optimization and focused on portfolio selection problem based on credibility measure. Four different shapes of the membership function are examined in the context of the most popular optimization problems: mean-variance, mean-semivariance, entropy minimization, value-at-risk minimization. The analysis takes into account both: the study of necessary and sufficient conditions for the existence of extremes, as well as the statistical inference about the differences based on simulation.</p></abstract>

Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membership function’s shape on the result of fuzzy portfolio optimization and focused on portfolio selection problem based on credibility measure. Four different shapes of the membership function are examined in the context of the most popular optimization problems: mean-variance, mean-semivariance, entropy minimization, value-at-risk minimization. The analysis takes into account both: the study of necessary and sufficient conditions for the existence of extremes, as well as the statistical inference about the differences based on simulation.

Influence Of Membership Function’s Shape On Portfolio Optimization Results

Department of Applied Mathematics Poznan University of Economics and Business al. Niepodleglosci, 61-875 Poznan, Poland

Journal of Artificial Intelligence and Soft Computing Research

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Influence Of Membership Function\u2019s Shape On Portfolio Optimization Results"}

Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different...

Influence Of Membership Function’s Shape On Portfolio Optimization Results

Publié en ligne: 13 janv. 2016

Pages: 45 - 54

DOI: https://doi.org/10.1515/jaiscr-2016-0005

Mots clés
fuzzy variable, membership function, fuzzy portfolio optimization

© 2016 Academy of Management (SWSPiZ), Lodz

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Influence Of Membership Function’s Shape On Portfolio Optimization Results

Publié en ligne: 13 janv. 2016

Pages: 45 - 54

DOI: https://doi.org/10.1515/jaiscr-2016-0005

Mots clésfuzzy variable, membership function, fuzzy portfolio optimization

© 2016 Academy of Management (SWSPiZ), Lodz

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
fuzzy variable, membership function, fuzzy portfolio optimization