DocumentCode
734440
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
fYear
2015
fDate
19-21 May 2015
Firstpage
264
Lastpage
266
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Soft Computing and Measurements (SCM), 2015 XVIII International Conference on
Conference_Location
St. Petersburg
Print_ISBN
978-1-4673-6960-2
Type
conf
DOI
10.1109/SCM.2015.7190478
Filename
7190478
Link To Document