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On Fuzzy Portfolio Selection Problems

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Abstract

The uncertainty of a financial market is traditionally dealt with probabilistic approaches. However, there are many non-probabilistic factors that affect the financial markets. A number of empirical studies showed limitation of using probabilistic approaches in characterizing the uncertainty of the financial markets. Fuzzy set is a powerful tool used to describe an uncertain environment with vagueness, ambiguity or some other type of fuzziness, which are always involved in not only the financial markets but also the behavior of the financial managers' decisions. In a financial optimization model using fuzzy approaches, quantitative analysis, qualitative analysis, the experts' knowledge and the managers' subjective opinions can be better integrated. In this paper, we give an overview on the development of fuzzy portfolio selection to date. Some related problems that might deserve further investigations are also discussed.

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Authors and Affiliations

  1. Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing, 100080, China

    Shouyang Wang & Shushang Zhu

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  1. Shouyang Wang
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  2. Shushang Zhu
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Wang, S., Zhu, S. On Fuzzy Portfolio Selection Problems. Fuzzy Optimization and Decision Making 1, 361–377 (2002). https://doi.org/10.1023/A:1020907229361

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