Paper Info
Title
Fuzzy Portfolio Diversification With Ordered Fuzzy Numbers
Abstract
In this paper, we consider a multi-objective portfolio diversification problem under real constraints in fuzzy environment, where the objective is to minimize the variance of portfolio and maximize expected return rate of portfolio. The return rates of assets are modeled using concept of Ordered Fuzzy Candlesticks, which are Ordered Fuzzy Numbers. The use of them allows modeling uncertainty associated with financial data based on high-frequency data. Thanks to well-defined arithmetic of Ordered Fuzzy Numbers, the estimators of fuzzy-valued expected value and covariance can be computed in the same way as for real random variables. In an empirical study, 20 assets included in the Warsaw Stock Exchange Top 20 Index are used to compare considered fuzzy model with crisp mean-variance model.
Year
DOI
Venue
2017
10.1007/978-3-319-59063-9_25
ARTIFICIAL INTELLIGENCE AND SOFT COMPUTING, ICAISC 2017, PT I
Keywords
Field
DocType
Ordered fuzzy number, Kosinski's fuzzy number, Ordered fuzzy candlestick, Fuzzy portfolio diversification, Fuzzy returns, Multi-objective optimization, Financial high-frequency data
Mathematical optimization,Random variable,Diversification (finance),Computer science,Fuzzy logic,Portfolio,Expected value,Artificial intelligence,Fuzzy number,Expected return,Machine learning,Covariance
Conference
Volume
ISSN
Citations 
10245
0302-9743
0
PageRank 
References 
Authors
0.34
8
2
Name
Order
Citations
PageRank
Adam Marszalek1182.45
Tadeusz Burczynski2336.69