Discrete fuzzy system orbits as a portfolio selection method

被引：2

作者：

Perez-Gonzaga, Sergio ^{[1
]}

Jordan-Nunez, Jorge ^{[1
]}

Miro-Martinez, Pau ^{[1
]}

机构：

[1] Univ Politecn Valencia, Dept Stat, Alcoi Campus,Plaza Ferrandiz & Carbonell 2, Alcoy 03801, Spain

来源：

OPERATIONAL RESEARCH | 2020年 / 20卷 / 02期

关键词：

Abstract system; Discrete orbits; Fuzzy finance; INVARIABILITY;

D O I：

10.1007/s12351-017-0361-2

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The purpose of this work is to approach the portfolio selection problem from a particular System Theory framework. The System will be formed by the set of public companies in the portfolio and a set of fuzzy relations on those companies. Starting with an equally split portfolio represented by a fuzzy set B, the orbit of B is computed for a particular period obtaining a portfolio to invest in the next period. We present an example finding nine portfolios to invest in 9 months and we compare them with some optimal portfolios in the efficient frontier given by the Modern Portfolio Theory and with some random generated portfolios. We find a better performance in returns for the portfolio based on the systemic method.

引用

页码：1047 / 1053

页数：7

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