By morphing mean–variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors’ pursuing either of the aggressive or conservative strategies. 2007 Elsevier Inc. All rights reserved.

Avoiding the possibility of bankruptcy during the investment horizon is very important to multi-period portfolio management. This paper considers a multi-period fuzzy portfolio selection problem with bankruptcy control. A multi-period portfolio optimization model imposed by a bankruptcy control constraint in fuzzy environment is proposed on the basis of credibility theory. In the proposed model...

1. Throughout this paper, references to “investment manager” and “manager” may also apply to a mutual fund. 2. For definitions of key terms used in this paper, please see the Glossary on page 8. This paper dissects the portfolio construction process, providing insights on successful practices. If you have not done so already, you can work with your Financial Advisor or Private Wealth Advisor to...

The objective of this paper is to develop a portfolio optimization technique that is simple enough for an individual with little knowledge of economic theory to systematically determine his own optimized portfolio. A compromise programming approach and a fuzzy logic approach are developed as alternatives to the traditional EV model.

The problem of portfolio selection in investment concerns with minimizing the risk for a prespecified level of return. In this paper, the constraint on the level of return is fuzzified and the technique of fuzzy evolutionary programming is employed to select an optimal portfolio of securities with low risk and with highly acceptable level of total return. Experimental results show the method is...

We show that the efficient frontier for a portfolio in which short positions precisely offset the long ones is composed of a pair of straight lines through the origin of the risk-return plane. This unique but important case has been overlooked because the original formulation of the mean-variance model by Markowitz as well as all its subsequent elaborations have implicitly excluded it by using ...

In order to analyze uncertain phenomena in real world, the concept of fuzzy random variables is widely employed in model building. In dealing with fuzzy data, defuzzification plays a central role. In this paper, portfolio selection problems are dealt as interval values. We calculate the expected values, variance and covariance by using the estimated parameters of underlying probability distribu...

A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing the perception-based extension of the value-at-risk, this paper formulates a portfolio problem to minimize the risk of falling with fuzzy random variables. In the proposed model, randomness and fuzziness are evaluated respective...

In response to changeful financial markets and investor’s capital, we discuss a portfolio adjusting problem with additional risk assets and a riskless asset based on credibility theory. We propose two credibilistic mean–variance portfolio adjusting models with general fuzzy returns, which take lending, borrowing, transaction cost, additional risk assets and capital into consideration in portfol...

Portfolio selection for strategic management is a crucial activity in many organizations, and it is concerned with a complex process that involves many decision-making situations. In order to decide which of the proposed projects should be retained in the final project portfolio, numerous conflicting criteria must be considered. They include economic, personnel development, and corporate image....