Fuzzy Portfolio Optimization Theory and Methods
This is the first monograph on fuzzy portfolio optimization. By using fuzzy mathematical approaches, quantitative analysis, qualitative analysis, the experts' knowledge and the investors' subjective opinions can be better integrated into portfolio selecti
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Yong Fang Kin Keung Lai Shouyang Wang ●
Fuzzy Portfolio Optimization Theory and Methods
Doctor Yong Fang Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100080 China [email protected]
Professor Kin Keung Lai Department of Management Sciences City University of Hong Kong Tat Chee Avenue Kowloon, Hong Kong [email protected]
Professor Shouyang Wang Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100080 China [email protected]
ISBN 978-3-540-77925-4
e-ISBN 978-3-540-77926-1
DOI 10.1007/978-3-540-77926-1 Lecture Notes in Economics and Mathematical Systems ISSN 0075-8442 Library of Congress Control Number: 2008925545 © 2008 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permissions for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMX Design GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
Preface
Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic approaches, we have to mention that the probabilistic approaches only partly capture the reality. Some other techniques have also been applied to handle the uncertainty of the financial markets, for instance, the fuzzy set theory [Zadeh (1965)]. In reality, many events with fuzziness are characterized by probabilistic approaches, although they are not random events. The fuzzy set theory has been widely used to solve many practical problems, including financial risk management. By using fuzzy mathematical approaches, quantitative analysis, qualitative analysis, the experts’ knowledge and the investors’ subjective opinions can be better integrated into a portfolio selection model. The contents of this book mainly comprise of the authors’ research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors will also introduce some other important progress in the field of fuzzy portfolio optimization. Some fundamental issues and problems of portfolio selection have been studied systematically and extensively by the authors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio selectio
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