ファジィ・ポートフォリオ・セレクション

意思決定者の希求水準の実現

抄録

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.