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Review Papers | Mathematics | Indonesia | Volume 5 Issue 4, April 2016 | Rating: 7 / 10
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
Edition: Volume 5 Issue 4, April 2016,
Pages: 141 - 145