## Abstract

In 1950s, Markowitzs first proposed portfolio theory based on a mean-variance (MV) model to balance the risk and profit of decentralized investment. The two main inputs of MV are expected return rate and the variance of expected return rate. The expected return rate is an estimated value which is often decided by experts. Various uncertainty of stock price brings difficulties to predict return rate even for experts. MV model has its tendency to maximize the influence of errors in the input assumptions. Some scholars used fuzzy intervals to describe the return rate. However, there were still some variables decided by experts. This paper proposes a classification method to find the latent relationship between the interval return rate and the trading data of a stock and predict the interval of return rate without consulting any expert. Then this paper constructs the portfolio model based on minimax rule with interval numbers. The evaluation results show that the proposed method is reliable.

Original language | English |
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Title of host publication | IEEE International Conference on Fuzzy Systems |

Publisher | Institute of Electrical and Electronics Engineers Inc. |

Pages | 2047-2054 |

Number of pages | 8 |

ISBN (Print) | 9781479920723 |

DOIs | |

Publication status | Published - 2014 Sept 4 |

Event | 2014 IEEE International Conference on Fuzzy Systems, FUZZ-IEEE 2014 - Beijing Duration: 2014 Jul 6 → 2014 Jul 11 |

### Other

Other | 2014 IEEE International Conference on Fuzzy Systems, FUZZ-IEEE 2014 |
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City | Beijing |

Period | 14/7/6 → 14/7/11 |

## Keywords

- Classification
- Interval number
- Minimax
- Portfolio

## ASJC Scopus subject areas

- Software
- Artificial Intelligence
- Applied Mathematics
- Theoretical Computer Science