Fuzzy stock portfolio. Research and optimization

Authors

  • N. А. Murga

Abstract

A fuzzy stock portfolio whose membership functions are triangular is studied. The risk-profit relationship is investigated for various assets of membership functions and criterion values. It is shown that the general optimization problem may be reduced to the two-dimensional case, and some algorithms of the portfolio optimization are proposed. Some regularities of the risk-profit relationship behaviour are considered.

Author Biography

N. А. Murga

Мурга Микола Олексійович,

аспірант Національного технічного університету України «КПІ», Україна, Київ

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Published

2010-09-25

Issue

No. 3 (2010)

Section

Decision making and control in economic, technical, ecological and social systems

License

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