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Portfolio Optimization Using Credibility Theory

  • Chapter
Fuzzy Portfolio Optimization

Part of the book series: Studies in Fuzziness and Soft Computing ((STUDFUZZ,volume 316))

Abstract

In this chapter, we present a hybrid bi-objective credibility-based fuzzy mathematical programming model for portfolio selection under fuzzy environment. The expected value and chance constrained programming techniques are used to formulate the mathematical model in which return, risk and liquidity are considered for measuring performance of an asset. The model seeks to maximize the portfolio return while minimizing the portfolio risk. The portfolio liquidity is considered as a constraint. To solve the fuzzy optimization model, a two-phase approach is discussed

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Authors and Affiliations

  1. Department of Operational Research, Faculty of Mathematical Sciences, University of Delhi, Delhi, India

    Pankaj Gupta & Mukesh Kumar Mehlawat

  2. Division of Mathematical Science for Social Systems, Department of Systems Innovations, Graduate School of Engineering Science, Osaka University, Osaka, Japan

    Masahiro Inuiguchi

  3. Department of Mathematics, Indian Institute of Technology, New Delhi, India

    Suresh Chandra

Authors
  1. Pankaj Gupta
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  2. Mukesh Kumar Mehlawat
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  3. Masahiro Inuiguchi
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  4. Suresh Chandra
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Corresponding author

Correspondence to Pankaj Gupta .

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© 2014 Springer-Verlag Berlin Heidelberg

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Gupta, P., Mehlawat, M.K., Inuiguchi, M., Chandra, S. (2014). Portfolio Optimization Using Credibility Theory. In: Fuzzy Portfolio Optimization. Studies in Fuzziness and Soft Computing, vol 316. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-54652-5_5

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  • DOI: https://doi.org/10.1007/978-3-642-54652-5_5

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-54651-8

  • Online ISBN: 978-3-642-54652-5

  • eBook Packages: EngineeringEngineering (R0)

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