Investment Portfolio Evaluation by Fuzzy Approach

Journal of Competitiveness, Issue 3, p. 13-26, 2011

14 Pages Posted: 20 Apr 2017  

Maya Lambovska

University of National and World Economy, Department of Management

Angel Marchev Jr.

University of National and World Economy, Sofia

Date Written: 2011

Abstract

Portfolio management is a well-researched interdisciplinary field. At the same time, there are many new possibilities for innovation through application of various new methods for solving the problem. Fuzzy logic and fuzzy sets are increasingly popular in portfolio management. This paper presents a new fuzzy approach for evaluation of investment portfolio, where the approach is viewed by the authors as a sub-phase of the management process of these portfolios. The approach defines the mutual and delayed effects among the significant variables of the investment portfolio. The evaluations of the effects are described as fuzzy trapezoidal numbers and they are aggregated by mathematical operations with incidence matrices and fuzzy expertons.

Keywords: Management Process of Investment Portfolio, Fuzzy Evaluation; Fuzzy Expertons and Incidence Matrices; Delayed Effects

JEL Classification: G11, M20, C69

Suggested Citation

Lambovska, Maya and Marchev Jr., Angel, Investment Portfolio Evaluation by Fuzzy Approach (2011). Journal of Competitiveness, Issue 3, p. 13-26, 2011. Available at SSRN: https://ssrn.com/abstract=2954734

Maya Lambovska (Contact Author)

University of National and World Economy, Department of Management ( email )

Students' Town
Sofia, 1700
Bulgaria

Angel Marchev Jr.

University of National and World Economy, Sofia ( email )

Sofia, BG-Sofia
Bulgaria

Register to save articles to
your library

Register

Paper statistics

Downloads
114
rank
221,273
Abstract Views
545
PlumX