Fuzzy Portfolio Selection Models – A Comparative Study

• Main Authors: Pei-Wen Chiou, 邱珮紋
• Other Authors: Jing-Rung Yu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/84323868734800851325

碩士 === 國立暨南國際大學 === 資訊管理學系 === 97 === This study surveys and evaluates related studies in fuzzy portfolio selection. We classify these studies into three categories with the fuzzy approach they employed. These three categories involve fuzzy decision theory, possibilistic programming and interval programming. This study explains the models of these studies, and chooses one model respectively from the three categories to compare with the traditional Markowitz’s mean-variance model. By illustrating selected model with rolling window method, we found the models based on the fuzzy decision theory have worst performance. Besides, the pessimistic models based on possibilistic programming can be selected in bear market, and the pessimistic or optimistic models based on interval programming can be selected in bull market and bear market.