A Fuzzy Efficient Frontier Method for Resource Allocation with Different Time Cycles

Abstract

The primary assumption, in many resource allocation problems, is that every asset has a unique length of return. However, this simple assumption may create some chaos when different investment alternatives may return in various time cycles and resources cannot be allocated at any given time. This paper presents a new extended efficient frontier problem. The new method assumes that all risky assets have different time cycles for their returns. The primary assumption is that the return for each asset is fuzzy in nature. The problem is solved and the results discussed, with some numerical examples.