Fuzzy portfolio optimization

Versione 1.0.0.0 (23 KB) da Edvard Nikulin
Optimization of investment pofolio based on the Mean_Variance approach with fuzzy numbers
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Aggiornato 24 dic 2016

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Proposed two fuzzy portfolio optimization models which bases on the Markowitz Mean-Variance (MV) approach.
The first model serves as an extension of MV optimization, using trapezoidal fuzzy numbers to describe securities parameters. The model returns fuzzy numbers of optimized portfolio expected return and variance. Also this model includes a method of results reliability estimation (for this purpose standartd deviation of portfolio expected return and variance, expressed in fuzzy numbers, are used).
The second model solve not only the problem of the first model but also optimize indicators of reliability, thus improving results reliability.
Example with trial portfolio, which consists of seven securities, is presented.

Cita come

Edvard Nikulin (2025). Fuzzy portfolio optimization (https://it.mathworks.com/matlabcentral/fileexchange/58886-fuzzy-portfolio-optimization), MATLAB Central File Exchange. Recuperato .

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For more details you may read the following article: http://www.icommercecentral.com/open-access/fuzzy-portfolio-optimization-model-with-estimation-of-results.php?aid=82675