Optimal solution of fuzzy optimization using pentagonal fuzzy numbers

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

The fundamental goal of portfolio optimization is to optimally allocate funds between different investment alternatives. The mean-variance (MV) methodology has become the most important quantitative tool used which considers the trade-off between risk and return. However the classical Markowitz's MV method does not match the real world in numerous circumstances, thus researchers done are to improve and modify the MV model to represent the practicality. This paper discusses on a portfolio selection model that extends the classical Markowitz's mean-variance model where the returns is represented by pentagonal fuzzy numbers. The concept of alpha level set is used to define the expected return and variance of fuzzy number. The proposed model gives better performance as compared to classical mean-variance model. Numerical examples are also presented to illustrate the usability of the model.

Original languageEnglish
Title of host publicationProceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017
Subtitle of host publicationMathematical Sciences as the Core of Intellectual Excellence
PublisherAmerican Institute of Physics Inc.
Volume1974
ISBN (Electronic)9780735416819
DOIs
Publication statusPublished - 28 Jun 2018
Event25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017 - Kuantan, Pahang, Malaysia
Duration: 27 Aug 201729 Aug 2017

Other

Other25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017
CountryMalaysia
CityKuantan, Pahang
Period27/8/1729/8/17

Fingerprint

optimization
methodology

Keywords

  • Mean-variance
  • Pentagonal fuzzy
  • Portfolio optimization

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Ramli, S., & Jaaman @ Sharman, S. H. (2018). Optimal solution of fuzzy optimization using pentagonal fuzzy numbers. In Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence (Vol. 1974). [020066] American Institute of Physics Inc.. https://doi.org/10.1063/1.5041597

Optimal solution of fuzzy optimization using pentagonal fuzzy numbers. / Ramli, Suhailywati; Jaaman @ Sharman, Saiful Hafizah.

Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence. Vol. 1974 American Institute of Physics Inc., 2018. 020066.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Ramli, S & Jaaman @ Sharman, SH 2018, Optimal solution of fuzzy optimization using pentagonal fuzzy numbers. in Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence. vol. 1974, 020066, American Institute of Physics Inc., 25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017, Kuantan, Pahang, Malaysia, 27/8/17. https://doi.org/10.1063/1.5041597
Ramli S, Jaaman @ Sharman SH. Optimal solution of fuzzy optimization using pentagonal fuzzy numbers. In Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence. Vol. 1974. American Institute of Physics Inc. 2018. 020066 https://doi.org/10.1063/1.5041597
Ramli, Suhailywati ; Jaaman @ Sharman, Saiful Hafizah. / Optimal solution of fuzzy optimization using pentagonal fuzzy numbers. Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence. Vol. 1974 American Institute of Physics Inc., 2018.
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