Fuzzy linear programming: An application in portfolio selection

Date of Publication

2008

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Mathematics

College

College of Science

Department/Unit

Mathematics and Statistics

Thesis Adviser

Kristine Joy E. Carpio

Defense Panel Chair

Ederlina G. Nocon

Defense Panel Member

Yvette F. Lim
Isagani B. Jos

Abstract/Summary

Markowitz portfolio selection model is the most frequent model used when solving portfolio selection problem. But since this thesis focuses on the use of fuzzy linear programming , Markowitz portfolio selection model was transformed into mean absolute deviation minimization to be able to apply the said method. It includes three formulation: (1) linear optimization model, (2) Verdegay's approach, and (3) Werners' approach. This thesis uses weekly return datat from January 2008 to June 2008 with five (5) securities namely PAXYS Incorporated, Petron Corporation, Vitarich Corporation, Semirara Mining, and A Brown Company. These securities will be used to apply the portfolio optimization problem.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU15407

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

vii, 50 leaves : ill.

Keywords

Programming (Mathematics); Fuzzy sets--Linear programming; Fuzzy systems--Mathematical models; Linear programming

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