Selection of efficient portfolios-probabilistic and fuzzy approach, comparative study
This paper presents a new method for selection of efficient portfolios in a situation where parameters in the calculation of effectiveness are expressed in form of interactive fuzzy numbers and probability distribution. Fuzzy simulations are used for performing arithmetic operations on interactive fuzzy numbers. The process of selecting investment projects takes into account statistical and economic dependencies of projects. The paper contains comparison of results obtained in selection of efficient portfolios of investment projects in a situation where parameters in calculation of effectiveness were expressed in form of interactive fuzzy numbers or probability distributions. (C) 2013 Elsevier Ltd. All rights reserved.
fuzzy numbers simulation portfolio selection risk mathematical programming