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...

Zimmermann (1978) proposed a fuzzy method for solving multiple objective decision problems whose main difficulty is in specifying the membership functions of the objectives. We have considered two different approaches to construct those membership functions that give rise to two algorithms for...

This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry...

In this work, we propose the use of Artificial Neural Networks (ANNs), with theobjective of predicting the volatility of peseta exchange rate. Firstly, we perform anexhaustive analysis of the forecasting ability of ANNs by comparing them against otherARCH-type models. The results suggest that...