Multicriteria Portfolio Optimization Based on Fuzzy Models and Alternative Risk Measure

Student: Levin Vladimir

Educational Programme: Applied Economics (Master)

Final Grade: 9

Year of Graduation: 2017

Master thesis is devoted to an alternative perspective of the portfolio optimization problem. In the classical setting of the portfolio optimization problem probability theory is used to deal with the uncertainty of the portfolio returns. In this paper, the theory of fuzzy sets is applied together with the probability theory to take into account the uncertainty in the mathematical model. Moreover, the model also incorporates two additional criteria such as liquidity and semi-variance, the latter being the alternative risk measure of portfolio returns. As a result of the research, it was revealed that this approach allows to obtain a higher "possible" return on the portfolio. General recommendations on portfolio parameters are diverse, depending also on the problem setting, but there is no one-sided answer to the question of which approach is better.

Full text (added November 1, 2017)

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