Fuzzy portfolio selection based on value-at-risk

Bo Wang, Shuming Wang, Junzo Watada

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    2 Citations (Scopus)

    Abstract

    In this paper, using Value-at-Risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The Value-at-Risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given.

    Original languageEnglish
    Title of host publicationConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
    Pages1840-1845
    Number of pages6
    DOIs
    Publication statusPublished - 2009
    Event2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009 - San Antonio, TX
    Duration: 2009 Oct 112009 Oct 14

    Other

    Other2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
    CitySan Antonio, TX
    Period09/10/1109/10/14

    Keywords

    • Fuzzy simulation
    • Fuzzy variable
    • Hybrid particle swarm optimization
    • Portfolio selection model
    • Value-at-risk

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering
    • Control and Systems Engineering
    • Human-Computer Interaction

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  • Cite this

    Wang, B., Wang, S., & Watada, J. (2009). Fuzzy portfolio selection based on value-at-risk. In Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics (pp. 1840-1845). [5346757] https://doi.org/10.1109/ICSMC.2009.5346757