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Fuzzy Portfolio Optimization

Theory and Methods

  • Book
  • © 2008

Overview

Authors:
  1. Yong Fang

    1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

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  2. Kin Keung Lai

    1. Department of Management Sciences, City University of Hong Kong, Kowloon, Hong Kong

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  3. Shouyang Wang

    1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 609)

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Table of contents (13 chapters)

  1. Front Matter

    Pages I-IX
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  4. Portfolio Selection Models with Interval Coefficients

    1. Linear Programming Model with Interval Coefficients

      Pages 93-106

    2. Quadratic Programming Model with Interval Coefficients

      Pages 107-114

  6. Fuzzy Passive Portfolio Selection Models

    1. Fuzzy Index Tracking Portfolio Selection Model

      Pages 155-161

  7. Back Matter

    Pages 163-176
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Keywords

About this book

Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - proaches, we have to mention that the probabilistic approaches only partly capture the reality. Some other techniques have also been applied to handle the uncertainty of the ?nancial markets, for instance, the fuzzy set theory [Zadeh (1965)]. In reality, many events with fuzziness are characterized by probabilistic approaches, although they are not random events. The fuzzy set theory has been widely used to solve many practical problems, including ?nancial risk management. By using fuzzy mathematical approaches, quan- tative analysis, qualitative analysis, the experts’ knowledge and the investors’ subjective opinions can be better integrated into a portfolio selection model. The contents of this book mainly comprise of the authors’ research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors will also introduce some other important progress in the ?eld of fuzzy portfolio optimization. Some fundamental issues and problems of po- folioselectionhavebeenstudiedsystematicallyandextensivelybytheauthors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio sel- tion models are given and some of them might be more e?cient for practical applications. Some application examples are given to illustrate these models by using real data from the Chinese securities markets.

Authors and Affiliations

  • Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

    Yong Fang, Shouyang Wang

  • Department of Management Sciences, City University of Hong Kong, Kowloon, Hong Kong

    Kin Keung Lai

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