A Fuzzy Index Tracking Portfolio Selection Model View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2005

AUTHORS

Yong Fang , Shou-Yang Wang

ABSTRACT

The investment strategies can be divided into two classes: passive investment strategies and active investment strategies. An index tracking investment strategy belongs to the class of passive investment strategies. The index tracking error and the excess return are considered as two objective functions, a bi-objective programming model is proposed for the index tracking portfolio selection problem. Furthermore, based on fuzzy decision theory, a fuzzy index tracking portfolio selection model is also proposed. A numerical example is given to illustrate the behavior of the proposed fuzzy index tracking portfolio selection model. More... »

PAGES

554-561

References to SciGraph publications

Book

TITLE

Computational Science – ICCS 2005

ISBN

978-3-540-26044-8
978-3-540-32118-7

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/11428862_76

DOI

http://dx.doi.org/10.1007/11428862_76

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1030461781


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