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Journal ArticleDOI

A fuzzy goal programming approach to portfolio selection

M. Arenas Parra, +2 more
- 01 Jan 2001 - 
- Vol. 133, Iss: 2, pp 287-297
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TLDR
A fuzzy G.P. approach is applied to the optimum portfolio for a private investor, taking into account three criteria: return, risk and liquidity, where the goals and the constraints are fuzzy.
About: 
This article is published in European Journal of Operational Research.The article was published on 2001-01-01. It has received 272 citations till now. The article focuses on the topics: Fuzzy set operations & Fuzzy number.

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Citations
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Journal ArticleDOI

Spread of fuzzy variable and expectation-spread model for fuzzy portfolio optimization problem

Xiaoli Wu, +1 more
- 01 Aug 2011 - 
TL;DR: This work takes the spread as a new risk criteria in fuzzy decision systems, combines it with the expectation of fuzzy variable, and develops three classes of fuzzy expectation-spread models for portfolio optimization problems.
Journal ArticleDOI

Portfolio selection under higher moments using fuzzy multi-objective linear programming

Thanh Nguyen
- 01 Jan 2016 - 
TL;DR: A new portfolio selection model employing fuzzy sets is proposed to account for uncertainty and vagueness of portfolio returns as well as of higher moment risks, and enables investors to optimize not only the normal risk but also the asymmetric risk (skewness) and the risk of fat-tails (kurtosis).
Book ChapterDOI

Fuzzy Extended Lexicographic Goal Programming

M. Arenas, +3 more
TL;DR: This work provides an unifying basis for GP and multiple objective programming approaches, Extended Lexicographic Goal Programming (ELGP) which is a rather general GP structure encompassing Archimedean and MINMAX (Tchebychev) GP variants as particular cases.
Journal ArticleDOI

Portfolio performance and risk-based assessment of the PORTRAIT tool

Konstantina Pendaraki, +1 more
- 01 Oct 2015 - 
TL;DR: The empirical results of the study showed that argumentation is well suited for this type of applications giving answers to two important questions, i.e. which mutual funds are the most suitable to invest in, and, what portion of the available capital should be invested in each of these funds.
Journal ArticleDOI

Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity

Bo Li, +2 more
- 01 Jan 2023 - 
TL;DR: Wang et al. as discussed by the authors considered a multi-period portfolio optimization problem under uncertain circumstance, and the return rates of risky securities are regarded as uncertain variables, where the uncertainty theory is used to deal with experts' evaluations.
References
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Journal ArticleDOI

Capital asset prices: a theory of market equilibrium under conditions of risk*

William F. Sharpe
- 01 Sep 1964 - 
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI

The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets

John Lintner
- 01 Feb 1965 - 
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI

Fuzzy sets as a basis for a theory of possibility

Lotfi A. Zadeh
- 01 Apr 1999 - 
TL;DR: The theory of possibility described in this paper is related to the theory of fuzzy sets by defining the concept of a possibility distribution as a fuzzy restriction which acts as an elastic constraint on the values that may be assigned to a variable.
Book

Multiple Attribute Decision Making: Methods and Applications

Shu-Jen J. Chen, +3 more
TL;DR: In this paper, the authors present a classification of MADM methods by data type and propose a ranking method based on the degree of similarity of the MADM method to the original MADM algorithm.
Journal ArticleDOI

The arbitrage theory of capital asset pricing

Stephen A. Ross
- 01 Dec 1976 - 
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.