Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk
Abstract: First we must present two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. And then we compare those with a given not fuzzy portfolio one. Finally, we can get the effect of not fuzzy portofolio under downside risk measures.
Keywords: Portfolio, Stock return, Fuzzy expected return, Downside risk
How to Cite?: Indah Simamora, Rahayu Sashanti, "Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk", Volume 5 Issue 4, April 2016, International Journal of Science and Research (IJSR), Pages: 141-145, https://www.ijsr.net/getabstract.php?paperid=NOV162491, DOI: https://dx.doi.org/10.21275/NOV162491