A fuzzy index tracking portfolio selection model

Authors:
Yong Fang;Shou-Yang Wang
Affiliations:
Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China
Venue:
ICCS'05 Proceedings of the 5th international conference on Computational Science - Volume Part III
Year:
2005

Citing 1
Cited 1

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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.