Application of fuzzy measures and interval computation to financial portfolio selection

As many data‐driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decision‐making problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decision‐theoretic perspective and show how to address this problem using fuzzy measures and fuzzy integrals. © 2010 Wiley Periodicals, Inc.

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