Portfolio selection using fuzzy decision theory

Srichander Ramaswamy

No 59, BIS Working Papers from Bank for International Settlements

Abstract: This paper presents an approach to portfolio selection using fuzzy decision theory. The approach is such that a given target rate of return is achieved for an assumed market scenario. If the assumed market scenario turns out to be incorrect, the portfolio is guaranteed to secure a given minimum rate of return. The methodology is useful in the management of assets against given liabilities or in forming structured portfolios that guarantee a minimum rate of return.

Pages: 29 pages
Date: 1998-11
References: View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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