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  • Fuzziness and funds allocation in portfolio optimization

    Author(s)
    Khoshnevisan, Mohammad
    Bhattacharya, Sukanto
    Smarandache, Florentin
    Griffith University Author(s)
    Khoshnevisan, Mohammad
    Year published
    2003
    Metadata
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    Abstract
    Each individual investor is different, with different financial goals, levels of risk tolerance and personal preferences. From the point of view of investment management, these characteristics are often defined as objectives and constraints. Objectives can be the type of return being sought, while constraints include factors such as time horizon, how liquid the investor is, any personal tax situation and how risk is handled. It is really a balancing act between risk and return with each investor having unique requirements, as well as a unique financial outlook - essentially a constrained utility maximization objective. ...
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    Each individual investor is different, with different financial goals, levels of risk tolerance and personal preferences. From the point of view of investment management, these characteristics are often defined as objectives and constraints. Objectives can be the type of return being sought, while constraints include factors such as time horizon, how liquid the investor is, any personal tax situation and how risk is handled. It is really a balancing act between risk and return with each investor having unique requirements, as well as a unique financial outlook - essentially a constrained utility maximization objective. To analyze how well a customer fits into a particular investor class, one investment house has even designed a structured questionnaire with about 24 questions that each has to be answered with values from 1 to 5. The questions range from personal background to what the customer expects from an investment. A fuzzy logic system has been designed for the evaluation of the answers to the above questions. The notion of fuzziness with respect to funds allocation is investigated.
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    Journal Title
    International Journal of Social Economics
    Volume
    30
    Issue
    5
    Publisher URI
    https://www.emerald.com/insight/content/doi/10.1108/03068290310471880/full/html
    DOI
    https://doi.org/10.1108/03068290310471880
    Subject
    Investment and Risk Management
    Applied Economics
    Other Economics
    Publication URI
    http://hdl.handle.net/10072/27887
    Collection
    • Journal articles

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