Influence Of Membership Function’s Shape On Portfolio Optimization Results

Aleksandra Rutkowska

Abstract

Portfolio 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.
Author Aleksandra Rutkowska (WIiGE / KMS)
Aleksandra Rutkowska,,
- Department of Applied Mathematics
Journal seriesJournal of Artificial Intelligence and Soft Computing Research, ISSN 2083-2567, e-ISSN 2449-6499, (B 10 pkt)
Issue year2016
Vol6
No1
Pages45-54
Publication size in sheets0.5
Keywords in Englishfuzzy variable, membership function, fuzzy portfolio optimization
ASJC Classification1702 Artificial Intelligence; 1707 Computer Vision and Pattern Recognition; 1708 Hardware and Architecture; 1710 Information Systems; 2611 Modelling and Simulation
DOIDOI:10.1515/jaiscr-2016-0005
URL http://jaiscr.eu/issuesPDF/jaiscr_vol6_no1_2016.pdf
Languageen angielski
Score (nominal)10
Score sourcejournalList
ScoreMinisterial score = 10.0, 12-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 10.0, 12-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 11; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 2.785
Citation count*14 (2020-07-31)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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