An Empirical Analysis of Portfolio Performance Using Maximin and Fuzzy Linear Programming

Abstract

Fuzzy decision is the alternative way to help a problem in mathematical modelling for selection of portfolio. For this purpose, we will show how the portfolio constructing from Maximin method into portfolio modelling using fuzzy approach to obtain additional information for the portfolio. Through fuzzy, the portfolio modelling will able to cope two or more objectives in one step. The numerical example will be included to give an illustration from a practical view