Title :
Fuzzy programming methods to selecting portfolios
Author :
Petrova, M.V. ; Volkova, E.S.
Author_Institution :
Financial Univ. under the Gov. of the Russian Federation, Moscow, Russia
Abstract :
A possibilistic approach to selecting portfolios with highest utility score is considered. Fuzzy optimization is combined with a kind of scoring algorithm. An optimal portfolio is selected according to data from the Russian stock market and its behavior is analyzed.
Keywords :
fuzzy set theory; investment; mathematical programming; possibility theory; stock markets; Russian stock market; fuzzy optimization; fuzzy programming methods; optimal portfolio; portfolios; possibilistic approach; scoring algorithm; utility score; Fuzzy sets; Indexes; Portfolios; Probabilistic logic; Programming; Security; Stock markets; mean-variance analysis; possibility distributions;
Conference_Titel :
Soft Computing and Measurements (SCM), 2015 XVIII International Conference on
Conference_Location :
St. Petersburg
Print_ISBN :
978-1-4673-6960-2
DOI :
10.1109/SCM.2015.7190478
