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Exact and heuristic procedures for solving the fuzzy portfolio selection problem

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Abstract

We propose a fuzzy model for the portfolio selection problem which takes into account the vagueness of the investor’s preferences regarding the assumed risk. We also describe an exact method for solving it as well as a hybrid meta-heuristic procedure which is more adequate for medium and large-sized problems or in cases in which a quick solution is needed. As an application, we solve several problems based on data from the IBEX35 index and the Spanish Stock Exchange Interconnection System.

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Authors and Affiliations

  1. Department of Ingeniería de la Información y Comunicaciones, Universidad de Murcia, Murcia, Spain

    J. M. Cadenas, J. V. Carrillo & M. C. Garrido

  2. Department of Matemàtiques per a l’ Economia i l’Empresa, Universitat de València, València, Spain

    C. Ivorra & V. Liern

Authors
  1. J. M. Cadenas
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  2. J. V. Carrillo
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  3. M. C. Garrido
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  4. C. Ivorra
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  5. V. Liern
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Corresponding author

Correspondence to V. Liern.

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Cadenas, J.M., Carrillo, J.V., Garrido, M.C. et al. Exact and heuristic procedures for solving the fuzzy portfolio selection problem. Fuzzy Optim Decis Making 11, 29–46 (2012). https://doi.org/10.1007/s10700-011-9114-5

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  • DOI: https://doi.org/10.1007/s10700-011-9114-5

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