Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk

Indah Simamora, Rahayu Sashanti

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