A fuzzy control model for dynamic portfolio management

A fuzzy control model for dynamic portfolio management

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Article ID: iaor19961306
Country: Netherlands
Volume: 78
Issue: 3
Start Page Number: 243
End Page Number: 254
Publication Date: Mar 1996
Journal: Fuzzy Sets and Systems
Authors:
Keywords: finance & banking, programming: linear
Abstract:

In the present study the paper continues previous work by recasting the portfolio management problem into a control theoretic form, still retaining a recursive programming structure through time. The uncertainty of future prices and risk levels is recognized by fuzzy numbers. The present system has interesting directions for future research: improving performance through expert systems support for forecasting, using the experience from the model in efforts to theory design, solving the fuzzy control model when the state objectives, return predictions and the level of economic friction are fuzzy.

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