A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

This paper presents a new possibilistic programming approach to the portfolio selection problem. It is based on two issues: the approximation of the rates of return on securities by means of fuzzy numbers of trapezoidal form, for which we use the interval-valued ex-pectation defined by Dubois and Prade (1987), and the perception that down-side risk is a more realistic description of an investor’s preferences. We use a data set from the Spanish stock market to illustrate the performance of our method.

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Year of publication:	2004
Authors:	León, Teresa ; Liern, Vicente ; Marco, Paulina ; Vicente Segura, José ; Vercher, Enriqueta
Published in:	Fuzzy Economic Review. - International Association for Fuzzy-Set Management and Economy - SIGEF, ISSN 1136-0593. - Vol. IX.2004, 1, p. 61-77
Publisher:	International Association for Fuzzy-Set Management and Economy - SIGEF
Subject:	portfolio selection \| fuzzy returns \| downside risk function \| fuzzy LR-numbers \| interval-valued expectation \| linear programming

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; D80 - Information and Uncertainty. General
Source:	RePEc - Research Papers in Economics

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