This paper presents an approach to portfolio selection using fuzzy decision
theory. The approach is such that a given target rate of return is achieved for
an assumed market scenario. If the assumed market scenario turns out to be
incorrect, the portfolio is guaranteed to secure a given minimum rate of return.
The methodology is useful in the management of assets against given liabilities
or in forming structured portfolios that guarantee a minimum rate of return.
The views expressed in this publication are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.