Work

Portfolio Selection Using Fuzzy Decision Theory

Year: 1998

Type: preprint

Abstract: This paper presents an approach to portfolio selection using fuzzy decision theory. The approach is such that a given target rate of return is achieved for an assumed market scenario. If the assumed market scenario turns out to be incorrect, the portfolio is guaranteed to secure a given minimum rate of return. The methodology is useful in the management of assets against given liabilities or in forming structured portfolios that guarantee a minimum rate of return.

Source: RePEc: Research Papers in Economics

Author: Srichander Ramaswamy

Institution: Bank for International Settlements

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2164987253

Cites: 6

Cited by: 58

Related to: 10