Fuzzy Based Investment Portfolio Management

Pandey, Mayank; Singh, Vikas; Verma, Nishchal K.

doi:10.1007/978-3-030-03368-2_4

Cited by 4 publications

(2 citation statements)

References 30 publications

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“…A fuzzy analytic network technique is employed for portfolio selection [37], and a great deal of other criteria other than risk and return are studied. According to [34], there are several financial applications for fuzzy logic, including portfolio optimization. Multi-objective linear programming is created in study [54] for portfolio selection in a fuzzy environment.…”

Section: Introductionmentioning

confidence: 99%

An Elliptic Intuitionistic Fuzzy Portfolio Selection Problem based on Knapsack Problem

Traneva,

Petrov,

Tranev

2023

Annals of Computer Science and Information Systems

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This paper suggests an index-matrix approach to a knapsack-based portfolio selection model (E-IFKP) with parameters, characterized by elliptic intuitionistic fuzzy values. Elliptic Intuitionistic Fuzzy Sets are a tool to model the greater uncertainty of the environment, which is introduced in 2021. In the developed E-IFKP model, the price and the return value of the assets are determined by experts taking into account their rank. Three scenarios are proposed to the decision maker for the final choice -pessimistic, optimistic, and average. The proposed E-IFKP extends the dynamic programming approach for the Knapsack problem, which aims to select items to be placed in the knapsack to achieve the highest possible total value not exceeding its capacity. To determine the best option for an E-IFKP for certain data from the US stock exchange a software for conducting the proposed approach is developed and is used in the case study.

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Section: Introductionmentioning

confidence: 99%

An Elliptic Intuitionistic Fuzzy Portfolio Selection Problem based on Knapsack Problem

Traneva,

Petrov,

Tranev

2023

Annals of Computer Science and Information Systems

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“…Tiryaki et al [18] compared the performance of two fuzzy-AHP approaches for portfolio selection in the Istanbul Stock Exchange (ISE). Pandey et al [19] presented several applications of fuzzy logic in finance that included portfolio optimization. The authors of [20,21] incorporated fuzzy set theory and expert opinions regarding traditional allocation asset models such as modern portfolio theory (MPT).…”

Section: Introductionmentioning

confidence: 99%

Socially Responsible Portfolio Selection: An Interactive Intuitionistic Fuzzy Approach

et al. 2021

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In this study, we address the topic of sustainable and responsible portfolio investments (SRI). The selection of such portfolios is based, in addition to traditional financial variables, on environmental, social, and governance (ESG) criteria. The interest of our approach resides in allowing socially responsible (SR) portfolio investors to select their optimal portfolios by considering their individual preferences for each objective and simultaneous definition of the degrees of acceptance and rejection. In particular, we consider socially responsible portfolio selection as an optimization problem with multiple objectives before applying interactive intuitionistic fuzzy method to solve the portfolio optimization. The robustness of our approach is tested through an empirical study on the top 10 Stocks for ESG values worldwide.

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An Exploration of the Fuzzy Inference System for the Daily Trading Decision and Its Performance Analysis Based on Fuzzy MCDM Methods

Veeramani

Venugopal²,

Muruganandan³

2022

Comput Econ

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Fuzzy Based Investment Portfolio Management

Cited by 4 publications

References 30 publications

An Elliptic Intuitionistic Fuzzy Portfolio Selection Problem based on Knapsack Problem

An Elliptic Intuitionistic Fuzzy Portfolio Selection Problem based on Knapsack Problem

Socially Responsible Portfolio Selection: An Interactive Intuitionistic Fuzzy Approach

An Exploration of the Fuzzy Inference System for the Daily Trading Decision and Its Performance Analysis Based on Fuzzy MCDM Methods

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