Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory
نویسندگان
چکیده
منابع مشابه
Fuzzy portfolio optimization under downside risk measures
This paper presents 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 t...
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ژورنال
عنوان ژورنال: International Journal of Industrial Engineering Computations
سال: 2012
ISSN: 1923-2926,1923-2934
DOI: 10.5267/j.ijiec.2012.05.005