Abstract: The problem of fuzzy portfolio optimization is considered and analyzed. The dependence “profitabilityrisk” for optimal fuzzy portfolio was obtained and investigated. The sufficient conditions for the curve “profitability- risk” to be monotonous decreasing were obtained. The experimental investigations of this dependence were carried out which fully confirmed the theoretical results.

Keywords: fuzzy portfolio, optimization, curve “optimal profitability-risk”, sufficient conditions.

ACM Classification Keywords: H.4.2. Information system Applications: Types of Systems Decision Support

Link:

ИССЛЕДОВАНИЕ ЗАДАЧИ ОПТИМИЗАЦИИ ИНВЕСТИЦИОННОГО ПОРТФЕЛЯ В НЕЧЕТКИХ УСЛОВИЯХ

Юрий Зайченко, Малихех Есфандиярфард

http://foibg.com/ibs_isc/ibs-10/ibs-10-p10.pdf