Influence Of Membership Function’s Shape On Portfolio Optimization Results
AbstractPortfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membership function’s shape on the result of fuzzy portfolio optimization and focused on portfolio selection problem based on credibility measure. Four different shapes of the membership function are examined in the context of the most popular optimization problems: mean-variance, mean-semivariance, entropy minimization, value-at-risk minimization. The analysis takes into account both: the study of necessary and sufficient conditions for the existence of extremes, as well as the statistical inference about the differences based on simulation.
|Journal series||Journal of Artificial Intelligence and Soft Computing Research, ISSN 2083-2567, e-ISSN 2449-6499, (B 10 pkt)|
|Publication size in sheets||0.5|
|Keywords in English||fuzzy variable, membership function, fuzzy portfolio optimization|
|ASJC Classification||; ; ; ;|
|Score|| = 10.0, 12-12-2019, ArticleFromJournal|
= 10.0, 12-12-2019, ArticleFromJournal
|Publication indicators||= 11; : 2017 = 2.785|
|Citation count*||14 (2020-07-31)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.