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Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates
2011
Mathematical Problems in Engineering
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In this paper, the returns of each assets are assumed to be fuzzy variables, then following the mean-variance approach, a new possibilistic portfolio selection model with different interest rates for borrowing ...
and lending is proposed, in which the possibilistic semiabsolute deviation of the return is used to measure investment risk. ...
Therefore, the possibilistic semi-absolute deviation can be defined as ω P M max{0, M P − P } . 2.13 Based on the Theorem 2.1, the interval-valued possibilistic semi-absolute deviation is represented as ...
doi:10.1155/2011/263240
fatcat:2uo7eonncvballyubdpd6nfcbm
The mean-absolute deviation portfolio selection problem with interval-valued returns
2011
Journal of Computational and Applied Mathematics
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According to the concept of the mean-absolute deviation function, we construct a pair of two-level mathematical programming models to calculate the lower and upper bounds of the investment return of the ...
Since the parameters are interval valued, the gain of returns is interval valued as well. ...
Acknowledgements This research was supported by the National Science Council of the Republic of China under Contract No. NSC96-2410-H-238-004-MY2. The author is indebted to Editor M.J. ...
doi:10.1016/j.cam.2011.03.008
fatcat:7htazoka4bdmpfibjxxq7z76ey
Robustness-based portfolio optimization under epistemic uncertainty
2018
Journal of Industrial Engineering International
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return and risk. ...
information) arising from interval data. ...
In the future, the proposed model can be compared with the linear robust risk estimator such as Mean Absolute Deviation and Median Absolute Deviation. ...
doi:10.1007/s40092-018-0292-4
fatcat:6nwujhabqvadrntwtnpj3fynyu
Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk
2016
International Journal of Science and Research (IJSR)
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We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. ...
We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. And then we compare those with a given not fuzzy portfolio one. ...
Taking the uncertainty of returns on assets in a financial market as trapezoidal LR-fuzzy numbers, we generalize the mean semi-absolute deviation using both interval-valued probabilistic and possibilistic ...
doi:10.21275/v5i4.nov162491
fatcat:eip2pds7ibffflfhqxbqfe26ta
Fuzzy portfolio optimization under downside risk measures
2007
Fuzzy sets and systems (Print)
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We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. ...
Finally, we formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form. ...
In general portfolio selection problems a probability distribution of the return on the assets is assumed to be known, the return is quantified by means of its expected value and the variance of the portfolio ...
doi:10.1016/j.fss.2006.10.026
fatcat:2y542whzzngkxay5xq6sduqzdu
Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)
2015
International Journal of Computer Applications
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A comparison between the three proposed methods is conducted using three different measures of error (the Mean-Variance (MV), Mean-Absolute Deviation (MAD), Conditional Value-at-Risk (CVaR)). ...
Portfolio risk plays an important role in stock market decisions. This paper considers an alternative idea which is to compute the risk assuming fixed return. ...
This model calculates the portfolio to minimizing MAD subject to a lower bound on the return. ...
doi:10.5120/19837-1691
fatcat:qitghi6difgbvihrdui4yu2xm4
A class of linear interval programming problems and its application to portfolio selection
2002
IEEE transactions on fuzzy systems
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Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to ...
The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. ...
Konno and Yamazika [19] used the absolute deviation risk function to replace the risk function in Markowitz's mean-variance model and formulated a mean absolute deviation portfolio optimization model ...
doi:10.1109/tfuzz.2002.805902
fatcat:m5p4576yajawrc376uh2uwyjla
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
2005
International Journal of Theoretical and Applied Finance
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Finally, we propose an empirical comparison among three different portfolio choice models which depend on the mean, on a risk measure, and on a skewness parameter. ...
Thus, we assess and value the impact on the investor's preferences of three different risk measures even considering some derivative assets among the possible choices. ...
). expected utility of the future wealth y W has a mean greater than y µ and the expected utility depends only on the mean and the risk measure p. ...
doi:10.1142/s0219024905003402
fatcat:tll5s4rpvng6bexirdhs7cyatu
A Simple Model of Robust Portfolio Selection
2004
Social Science Research Network
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We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. ...
A particular speci...cation of preferences allows us to solve the portfolio selection problem and obtain a simple closed-form expression for the portfolio weights, which lends itself to a straightforward ...
are the mean and the variance of the gross return on asset i. ...
doi:10.2139/ssrn.557235
fatcat:ahgfes4mwbc5xgcnv64u474es4
Simulating the market coefficient of relative risk aversion
2014
Cogent Economics & Finance
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The following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness and the kurtosis of the risky return. ...
Abstract: In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. ...
In the CAPM, this average risk is the market systematic risk, and the average return is the return on an average-risk capital asset. ...
doi:10.1080/23322039.2014.990742
fatcat:zxjf77e4pna6vatra5w2onkmoe
Portfolio Optimization under Cardinality Constraints: A Comparative Study
2017
Open Journal of Statistics
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In portfolio optimization problem, the cardinality constraint allows one to invest in K N ≤ assets out of a universe of N assets for a prespecified value of K. ...
It is generally agreed that choosing a "small" value of K forces the implementation of diversification in small portfolios. However, the question of how small must be K has remained unanswered. ...
This approach will then challenge the Markowitz belief that the only optimal portfolio is the one with higher expected mean portfolio value and smaller risk or standard deviation. ...
doi:10.4236/ojs.2017.74051
fatcat:gu6jhvcvzvce7k7ofkq76ekraa
Optimal Hedge Fund Allocation with Asymmetric Preferences and Distributions
2006
Social Science Research Network
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By employing these two bounding ideas together, a confidence interval on the optimality gap (the difference between the optimal value of the objective function, z * , and the value for a given solution ...
Asset 1 has a monthly mean of 1% and a monthly standard deviation of 4%; Asset 2 has the same mean and standard deviation, additionally Asset 2 has a negative skewness and high kurtosis. ...
doi:10.2139/ssrn.900012
fatcat:pvep4odvgfdzjikhxggvy2dmh4
A Bayesian approach to diagnosis of asset pricing models
1995
Journal of Econometrics
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A large literature has arisen which exploits a particular portfolio on the mean-variance frontier, determining a minimum variance bound on the set of stochastic discount factors (state price to probability ...
Furthermore, the information bound is determined by a portfolio which maximizes expected CARA utility. ...
As expected, there are more negative values when the variance bound is higher. Maximum SDF elements are larger in absolute value than minimum elements. ...
doi:10.1016/0304-4076(94)01656-k
fatcat:eeal7lcavzgj7aimeg6awjxhti
Robust Portfolio Selection Problems: A Comprehensive Review
[article]
2022
arXiv
pre-print
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Several open questions and potential future research directions are identified. ...
In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. ...
Benati & Conde (2021) proposed a model that minimizes the maximum regret on the expected returns while the conditional value-at-risk is bounded under different scenario settings. ...
arXiv:2103.13806v2
fatcat:yktqhsnu3ffujjl2rwqgs2yhee
Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
2017
Journal of Industrial and Management Optimization
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In proposed model, the return rate of asset is quantified by uncertain expected value and the risk is characterized by uncertain absolute deviation. ...
The chance constraints are that the uncertain expected return of the portfolio selection is bigger than the preset return of investors under the given confidence level. ...
The risk on the return rate of portfolio at each period is quantified by the uncertain absolute deviation. ...
doi:10.3934/jimo.2018056
fatcat:qsowwpgaejgoto6vi32flzoevm
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