Name
Abstract | ||
|---|---|---|
Owing to the fluctuations in the financial markets, many financial variables such as expected return, volatility, or exchange rate may occur imprecisely. But many portfolio selection models consider precise input of these values. Therefore, this paper studies a multiobjective international asset allocation problem under fuzzy environment. In our portfolio selection model, both of the return risk and the exchange risk are considered. The coefficient matrices in the objectives and constraints and the decision value are considered as fuzzy variables. The calculation of the portfolio and efficient frontier is derived by considering the exchange risk in the fuzzy environment. An empirical study is performed based on a portfolio of six securities denominated in six different currencies, i.e., USD, EUR, JPY, CNY, HKD, and GBP. The alpha-level closed interval portfolio (X) over tilde (alpha) and the fuzzy efficient frontier are obtained with different values of alpha is an element of (0, 1]. The empirical results indicate that the fuzzy asset selection method is a useful tool for dealing with the imprecise problem in the real world. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1142/S0218488510006787 | INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS |
Keywords | Field | DocType |
Fuzzy numbers, portfolio selection, fuzzy programming, fuzzy efficient frontier | Econometrics,Actuarial science,Replicating portfolio,Capital asset pricing model,Portfolio,Artificial intelligence,Asset allocation,Modern portfolio theory,Efficient frontier,Post-modern portfolio theory,Portfolio optimization,Mathematics,Machine learning | Journal |
Volume | Issue | ISSN |
18 | 6 | 0218-4885 |
Citations | PageRank | References |
0 | 0.34 | 9 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Wei-Jun Xu | 1 | 154 | 14.56 |
| Weidong Xu | 2 | 0 | 0.68 |
| Hongyi Li | 3 | 1383 | 77.85 |
| Wei-Guo Zhang | 4 | 557 | 39.22 |