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
Diserahkan: 29 Januari 2009 / Diterima: 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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*Pengarang untuk surat-menyurat; email: daud@tmsk.uitm.edu.my
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