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Fuzzy portfolio selection problem under uncertain exit time | IEEE Conference Publication | IEEE Xplore

Fuzzy portfolio selection problem under uncertain exit time


Abstract:

Uncertainty over exit time is an important practical issue faced by most investors. In this paper, we introduce the notations of the possibilistic mean, variance and cova...Show More

Abstract:

Uncertainty over exit time is an important practical issue faced by most investors. In this paper, we introduce the notations of the possibilistic mean, variance and covariance of fuzzy numbers to generalize Markowitz analysis. In the first time, we consider the uncertain investment period from the point of view of possibilistic analysis, and build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon. The exit time can be either independent or dependent of asset price behavior. Moreover, an numerical example is presented to show the application of our results.
Date of Conference: 20-24 August 2009
Date Added to IEEE Xplore: 02 October 2009
ISBN Information:
Print ISSN: 1098-7584
Conference Location: Jeju, Korea (South)

References

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