FUZZY PORTFOLIO OPTIMIZATION USING QUADRATIC PROGRAMMING

1Mustafa Menekay

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Abstract:

This paper presents the arrangement of fuzzy portfolio advancement utilizing Lagarange multiplier technique. The definition of nonlinear improvement model for portfolio advancement issue and its answer are given. As information for portfolio improvement the recorded returns of benefits and estimations of expected returns are taken. At the point when portfolio improvement issues are portrayed with vulnerability, adaptability in issue imperatives, the fuzzy sets are appropriate portrayal for demonstrating of this kind of enhancement issue. The detailing of fluffy portfolio advancement issue and its answer are given. The  level method is utilized to characterize vitality work for fuzzy portfolio and find ideal fuzzy estimations of the protections.

Keywords:

Portfolio optimization, quadratic programming, fuzzy optimization, fuzzy portfolio selection

Paper Details
Month5
Year2020
Volume24
IssueIssue 2
Pages6113-6121