Нечіткий фондовий портфель. Дослідження та оптимізація
A fuzzy stock portfolio whose membership functions are triangular is studied. The risk-profit relationship is investigated for various assets of membership functions and criterion values. It is shown that the general optimization problem may be reduced to the two-dimensional case, and some algorithm...
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| Date: | 2010 |
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| Main Author: | |
| Format: | Article |
| Language: | Russian |
| Published: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2010
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| Online Access: | http://journal.iasa.kpi.ua/article/view/106924 |
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| Journal Title: | System research and information technologies |
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System research and information technologies| Summary: | A fuzzy stock portfolio whose membership functions are triangular is studied. The risk-profit relationship is investigated for various assets of membership functions and criterion values. It is shown that the general optimization problem may be reduced to the two-dimensional case, and some algorithms of the portfolio optimization are proposed. Some regularities of the risk-profit relationship behaviour are considered. |
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