USING A FUZZY SETS APPROACH TO SELECT A PORTFOLIO OF GREEK GOVERNMENT BONDS

In this paper we investigate the application of a methodology based on fuzzy-sets theory to the selection of an optimal portfolio of Greek government bonds. Investors’ goals for the different bond market scenarios are formulated in fuzzy qualitative terms, while a model of fuzzy mathematical programming is used for the specification of the portfolio that optimally meets the given goals. The reliability of the results obtained with this methodology is checked with the aid of simulation.

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Year of publication:	2004
Authors:	Michalopoulos, Michael ; Thomaidis, Nikolaos S. ; Dounias, George D. ; Zopounidis, Constantin
Published in:	Fuzzy Economic Review. - International Association for Fuzzy-Set Management and Economy - SIGEF, ISSN 1136-0593. - Vol. IX.2004, 2, p. 27-48
Publisher:	International Association for Fuzzy-Set Management and Economy - SIGEF
Subject:	fuzzy sets \| multi-criteria programming \| government bonds \| simulation

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Type of publication:	Article
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004992739