Sains Malaysiana 38(6)(2009): 895–899

A Fuzzy Approach to Portfolio Selection

(Pendekatan Kabur kepada Pemilihan Portfolio)

Zulkifli Mohamed & Omar Samat

Finance Department, Faculty of Business Management

Universiti TeknologiMARA Malaysia, 40450 Shah Alam, Selangor

Daud Mohamad*

Mathematics Department

Faculty of Computer and Mathematical Sciences

Universiti TeknologiMARA Malaysia, 40450 Shah Alam, Selangor

Received: 29 January 2009 / Accepted: 28 April 2009

ABSTRACT

Stock market investing is undoubtedly challenging. Investors have to deal with random, vague and ambiguity stock price volatility before embarking on investment decision. Due to these weaknesses, the conventional model has several limitations; as a result investors are demanding for a new robust model which is able to represent their real situation to solve the uncertainty issues. In this study we developed a new fuzzy portfolio selection model using semi-variance as a risk measure integrates with investor’s judgment on assets’ future performance. Linear programming approach was used to optimize the portfolio risk and return. Empirical data showed that the model were able to derive a resourceful portfolio compared to the na•ve portfolio selection.

Keywords: Fuzzy number; investor’s judgment; linear programming; portfolio selection; semi-variance

ABSTRAK

Tidak dapat dinafikan bahawa melabur di pasaran saham adalah mencabar. Pelabur terpaksa berhadapan dengan kerawakan, kekaburan dan ketaktentuan turun naik harga saham sebelum mengambil keputusan pada pelaburan. Disebabkan oleh kekurangan tersebut, model konvensional mempunyai beberapa pembatasan dan akibatnya pelabur menuntut model baru yang berkesan yang mampu mewakili keadaan sebenar untuk menyelesaikan isu ketakpastian. Dalam kajian ini, kami membangunkan model pemilihan portfolio kabur yang baru menggunakan semivarian sebagai pengukur risiko digabungkan dengan pertimbangan pelabur pada pencapaian hadapan aset. Pendekatan pengaturcaraan linear digunakan untuk mengoptimum risiko dan pulangan portfolio. Data empirik menunjukkan bahawa model ini dapat menerbitkan portfolio bermaklumat berbanding pemilihan portfolio naif.

Kata kunci: Nombor kabur; pemilihan portfolio; pengaturcaraan linear; penilaian pelabur; semivarian

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*Corresponding author; email: daud@tmsk.uitm.edu.my