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29

ICCS
2005
Springer

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178views Applied Computing» more ICCS 2005»

A Fuzzy Index Tracking Portfolio Selection Model

14 years 4 months ago

A Fuzzy Index Tracking Portfolio Selection Model

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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.

Yong Fang, Shouyang Wang

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ICCS 2005 | Index Tracking | Index Tracking Portfolio | Investment Strategies |

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Added	27 Jun 2010
Updated	27 Jun 2010
Type	Conference
Year	2005
Where	ICCS
Authors	Yong Fang, Shouyang Wang

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