A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market

Author

Bermudez, José D. ; Segura, José V. ; Vercher, Enriqueta

Author_Institution

Univ. de Valencia, Burjassot

fYear

2007

fDate

23-26 July 2007

Firstpage

1

Lastpage

4

Abstract

In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.

Keywords

decision making; decision theory; fuzzy set theory; genetic algorithms; number theory; stock markets; Spanish stock market; decision-making; expected return; expected risk; fuzzy ranking strategy; genetic algorithm; portfolio returns uncertainty; portfolio selection problem; rank index; trapezoidal fuzzy number; Finance; Investments; Linear programming; Measurement standards; Portfolios; Quadratic programming; Risk management; Security; Stock markets; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Fuzzy Systems Conference, 2007. FUZZ-IEEE 2007. IEEE International

Conference_Location

London

ISSN

1098-7584

Print_ISBN

1-4244-1209-9

Electronic_ISBN

1098-7584

Type

conf

DOI

10.1109/FUZZY.2007.4295466

Filename

4295466