Transactions of the Institute of Systems, Control and Information Engineers
Online ISSN : 2185-811X
Print ISSN : 1342-5668
ISSN-L : 1342-5668
Fuzzzy Portfolio Selection
Realization of an Aspiration Level Given by a Decision Maker
Hiroto MIZUNUMAJunzo WATADA
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1995 Volume 8 Issue 12 Pages 677-684

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Abstract

This paper deals with portfolio selection in terms of fuzzy concept. The objective of this fuzzy portfolio selection is to decide the portfolio selection based on vague aspiration level which decision makers have. The vague aspiration level is expressed by a fuzzy number and maximized by Bellman-Zadeh's maximization principle.
In the model logistic membership functions are employed to overcome the several theoretical defects which trapezoidal membership functions result in.

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