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- W2617041180 abstract "In this paper, we consider a multi-objective portfolio diversification problem under real constraints in fuzzy environment, where the objective is to minimize the variance of portfolio and maximize expected return rate of portfolio. The return rates of assets are modeled using concept of Ordered Fuzzy Candlesticks, which are Ordered Fuzzy Numbers. The use of them allows modeling uncertainty associated with financial data based on high-frequency data. Thanks to well-defined arithmetic of Ordered Fuzzy Numbers, the estimators of fuzzy-valued expected value and covariance can be computed in the same way as for real random variables. In an empirical study, 20 assets included in the Warsaw Stock Exchange Top 20 Index are used to compare considered fuzzy model with crisp mean-variance model." @default.
- W2617041180 created "2017-06-05" @default.
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- W2617041180 date "2017-01-01" @default.
- W2617041180 modified "2023-09-27" @default.
- W2617041180 title "Fuzzy Portfolio Diversification with Ordered Fuzzy Numbers" @default.
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- W2617041180 doi "https://doi.org/10.1007/978-3-319-59063-9_25" @default.
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