Advances and Applications in Statistics
Volume 60, Issue 1, Pages 35 - 44
(January 2020) http://dx.doi.org/10.17654/AS060010035 |
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MEDIAN-VARIANCE FUZZY WITH TRAPEZOIDAL FUZZY NUMBERS FOR PORTFOLIO SELECTION MODEL
Suhailywati Ramli and Saiful Hafizah Jaaman
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Abstract: The classical mean-variance Markowitz model uses mean to describe returns of an investment. In this study, the fuzzy median-variance model with return and risk represented by trapezoidal fuzzy numbers is proposed. In this proposed model, returns are represented by the median. The optimal portfolio produced by the fuzzy median-variance model is compared to portfolios produced by mean-variance model, median-variance model and fuzzy mean-variance model. Results of this study present that the fuzzy median-variance with trapezoidal fuzzy numbers model is superior than the other three models. This indicates that the model is a fitting model to be employed to generate optimal portfolio for risk-averse investors. |
Keywords and phrases: fuzzy, mean-variance, median-variance, optimal portfolio, trapezoidal fuzzy numbers.
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