Application of fuzzy measures and interval computation to financial portfolio selection

Authors:
Tanja Magoč;Xiaojing Wang;François Modave
Affiliations:
Computer Science Department, University of Texas at El Paso El Paso, TX 79968-0518;Computer Science Department, University of Texas at El Paso El Paso, TX 79968-0518;Computer Science Department, Central Washington University Ellensburg, WA, 98926
Venue:
International Journal of Intelligent Systems
Year:
2010

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Abstract

As many data-driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decision-making problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decision-theoretic perspective and show how to address this problem using fuzzy measures and fuzzy integrals. © 2010 Wiley Periodicals, Inc.