| Naslov: | Fuzzy optimization for portfolio selection based on embedding theorem in fuzzy normed linear spaces |
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| Avtorji: | ID Solatikia, Farnaz (Avtor)
ID Kiliç, Erdem (Avtor)
ID Weber, Gerhard-Wilhelm (Avtor) |
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| Datoteke: |  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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| Jezik: | Angleški jezik |
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| Vrsta gradiva: | Znanstveno delo |
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| Tipologija: | 1.01 - Izvirni znanstveni članek |
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| Organizacija: | FOV - Fakulteta za organizacijske vede
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| Opis: | 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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| Ključne besede: | investiranje, dobiček, portfelj, optimiranje, metode |
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| Status publikacije: | Objavljeno |
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| Verzija publikacije: | Objavljena publikacija |
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| Leto izida: | 2014 |
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| Št. strani: | str. 90-98 |
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| Številčenje: | 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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| UDK: | 519.865 |
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| COBISS.SI-ID: | 279077888 |
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| DOI: | 10.2478/orga-2014-0010 |
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| ISSN pri članku: | 1318-5454 |
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| NUK URN: | URN:SI:UM:DK:BUXBVCID |
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| Datum objave v DKUM: | 30.11.2017 |
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| Število ogledov: | 1136 |
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| Število prenosov: | 432 |
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| Metapodatki: |    |
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| Področja: | Ostalo
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