| Title: | Fuzzy optimization for portfolio selection based on embedding theorem in fuzzy normed linear spaces |
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| Authors: | ID Solatikia, Farnaz (Author)
ID Kiliç, Erdem (Author)
ID Weber, Gerhard-Wilhelm (Author) |
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| Files: |  Organizacija_2014_Solatikia,_Kiliç,_Weber_Fuzzy_optimization_for_portfolio_selection_based_on_Embedding_Theorem_in_Fuzzy_Normed_Linear_S.pdf (844,36 KB)
MD5: DB68D8BCAA73C96BE29C8A1B0B4A979E
PID: 20.500.12556/dkum/09d48898-e4c2-4a06-9680-83ecac20bf1f
 http://www.degruyter.com/view/j/orga.2014.47.issue-2/orga-2014-0010/orga-2014-0010.xml
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| Language: | English |
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| Work type: | Scientific work |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | FOV - Faculty of Organizational Sciences in Kranj
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| Abstract: | Background: This paper generalizes the results of Embedding problem of Fuzzy Number Space and its extension into a Fuzzy Banach Space C(Ω) × C(Ω), where C(Ω) is the set of all real-valued continuous functions on an open set Ω.
Objectives: The main idea behind our approach consists of taking advantage of interplays between fuzzy normed spaces and normed spaces in a way to get an equivalent stochastic program. This helps avoiding pitfalls due to severe oversimplification of the reality.
Method: The embedding theorem shows that the set of all fuzzy numbers can be embedded into a Fuzzy Banach space. Inspired by this embedding theorem, we propose a solution concept of fuzzy optimization problem which is obtained by applying the embedding function to the original fuzzy optimization problem.
Results: The proposed method is used to extend the classical Mean-Variance portfolio selection model into Mean Variance-Skewness model in fuzzy environment under the criteria on short and long term returns, liquidity and dividends.
Conclusion: A fuzzy optimization problem can be transformed into a multiobjective optimization problem which can be solved by using interactive fuzzy decision making procedure. Investor preferences determine the optimal multiobjective solution according to alternative scenarios. |
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| Keywords: | investiranje, dobiček, portfelj, optimiranje, metode |
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| Publication status: | Published |
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| Publication version: | Version of Record |
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| Year of publishing: | 2014 |
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| Number of pages: | str. 90-98 |
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| Numbering: | Letn. 47, št. 2 |
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| PID: | 20.500.12556/DKUM-69117  |
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| ISSN: | 1318-5454 |
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| UDC: | 519.865 |
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| ISSN on article: | 1318-5454 |
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| COBISS.SI-ID: | 279077888 |
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| DOI: | 10.2478/orga-2014-0010 |
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| NUK URN: | URN:SI:UM:DK:BUXBVCID |
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| Publication date in DKUM: | 30.11.2017 |
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| Views: | 1140 |
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| Downloads: | 432 |
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| Metadata: |    |
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| Categories: | Misc.
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