Journal ArticleDOI
A fuzzy goal programming approach to portfolio selection
Reads0
Chats0
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.read more
Citations
More filters
Proceedings ArticleDOI
Entropy -cost ratio maximization model for efficient stock portfolio selection using interval analysis
Mainak Dey,Rupak Bhattacharyya +1 more
TL;DR: A new stock portfolio selection model in non-stochastic environment following the principle of maximum entropy is introduced as the objective function and eight different types of constraints are used in the model to convert it into a pragmatic one.
Proceedings ArticleDOI
Modeling transaction costs and skewness in portfolio: Application of fuzzy approach
TL;DR: The empirical results using 144 stocks in Taiwan Stock Exchange confirm the benefits of fuzzy decision making with inclusion of higher moment risk, skewness, in portfolio model, particularly when short-sale is allowed.
Select Efficient Portfolio through Goal Programming Model
TL;DR: This integrated model would be able to simultaneously solve the 4 steps of choosing optimal stock basket for stack holders in a way that first chooses the efficient stock baskets as a goal with the first priority and then deals with other goals to reach the investigator's fatnesses.
Journal Article
Implementation of optimum resource allocation by fuzzy goal programming : the case of higher education system
Mustafa Güneş,Nurullah Umarusman +1 more
TL;DR: Fuzzy Goal Programming has been used to determine optimum allocation of education equipment such as computer and laptop to the faculty members and officers at different level of positions.
Book ChapterDOI
Interval Mean-Semiabsolute Deviation Model
TL;DR: Li et al. as discussed by the authors proposed an interval portfolio selection model based on mean-semi-absolute deviation (MSA) model, and Li and Xu proposed a quadratic interval mean-variance model.
References
More filters
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
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
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
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
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
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.
Related Papers (5)
Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
Hiroshi Konno,Hiroaki Yamazaki +1 more