[02345] Performance of the Treynor Ratio in Compilation of Fuzzy Portfolios
Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Industrial Contributed Talk
Abstract : In investing, investors have several characteristics, namely risk averse, risk seeker, and risk indifferent. Differences in these characteristics lead to the preparation of an optimal portfolio in decision-making. This study analyzes the application of the Treynor ratio as an instrument to measure portfolio performance. Portfolio preparation uses a fuzzy approach. The process of optimizing the model by applying multiobjective. The results of this study are the portfolio Treynor index ratio formed against the characteristics for the three characteristics of investors. This is used for investor recommendations in determining investment decisions.
