A fuzzy index tracking portfolio selection model

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	A fuzzy index tracking portfolio selection model
	Fang, Y; Wang, SY
	2005
发表期刊	COMPUTATIONAL SCIENCE - ICCS 2005, PT 3
ISSN	0302-9743
卷号	3516 页码:554-561
摘要	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.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Theory & Methods
WOS记录号	WOS:000230026200076
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1298
专题	系统科学研究所
通讯作者	Wang, SY
作者单位	Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Fang, Y,Wang, SY. A fuzzy index tracking portfolio selection model[J]. COMPUTATIONAL SCIENCE - ICCS 2005, PT 3,2005,3516:554-561.
APA	Fang, Y,&Wang, SY.(2005).A fuzzy index tracking portfolio selection model.COMPUTATIONAL SCIENCE - ICCS 2005, PT 3,3516,554-561.
MLA	Fang, Y,et al."A fuzzy index tracking portfolio selection model".COMPUTATIONAL SCIENCE - ICCS 2005, PT 3 3516(2005):554-561.