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Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates

2011
*
Mathematical Problems in Engineering
*

In this paper, the

doi:10.1155/2011/263240
fatcat:2uo7eonncvballyubdpd6nfcbm
*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 ...##
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The mean-absolute deviation portfolio selection problem with interval-valued returns

2011
*
Journal of Computational and Applied Mathematics
*

According to the concept of the

doi:10.1016/j.cam.2011.03.008
fatcat:7htazoka4bdmpfibjxxq7z76ey
*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. ...##
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Robustness-based portfolio optimization under epistemic uncertainty

2018
*
Journal of Industrial Engineering International
*

*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*. ...

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Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk

2016
*
International Journal of Science and Research (IJSR)
*

We assume that the rates of

doi:10.21275/v5i4.nov162491
fatcat:eip2pds7ibffflfhqxbqfe26ta
*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 ...##
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Fuzzy portfolio optimization under downside risk measures

2007
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Fuzzy sets and systems (Print)
*

We assume that the rates of

doi:10.1016/j.fss.2006.10.026
fatcat:2y542whzzngkxay5xq6sduqzdu
*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*...##
###
Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)

2015
*
International Journal of Computer Applications
*

A comparison between the three proposed methods is conducted using three different measures of error (the

doi:10.5120/19837-1691
fatcat:qitghi6difgbvihrdui4yu2xm4
*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*. ...##
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A class of linear interval programming problems and its application to portfolio selection

2002
*
IEEE transactions on fuzzy systems
*

Considering the uncertain

doi:10.1109/tfuzz.2002.805902
fatcat:m5p4576yajawrc376uh2uwyjla
*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 ...##
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THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY

2005
*
International Journal of Theoretical and Applied Finance
*

Finally, we propose an empirical comparison among three different

doi:10.1142/s0219024905003402
fatcat:tll5s4rpvng6bexirdhs7cyatu
*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. ...##
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A Simple Model of Robust Portfolio Selection

2004
*
Social Science Research Network
*

We propose a single-period

doi:10.2139/ssrn.557235
fatcat:ahgfes4mwbc5xgcnv64u474es4
*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. ...##
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Simulating the market coefficient of relative risk aversion

2014
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Cogent Economics & Finance
*

The following parameters are varied: the riskless

doi:10.1080/23322039.2014.990742
fatcat:zxjf77e4pna6vatra5w2onkmoe
*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*. ...##
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Portfolio Optimization under Cardinality Constraints: A Comparative Study

2017
*
Open Journal of Statistics
*

In

doi:10.4236/ojs.2017.74051
fatcat:gu6jhvcvzvce7k7ofkq76ekraa
*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*. ...##
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Optimal Hedge Fund Allocation with Asymmetric Preferences and Distributions

2006
*
Social Science Research Network
*

By employing these two

doi:10.2139/ssrn.900012
fatcat:pvep4odvgfdzjikhxggvy2dmh4
*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. ...##
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A Bayesian approach to diagnosis of asset pricing models

1995
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Journal of Econometrics
*

A large literature has arisen which exploits a particular

doi:10.1016/0304-4076(94)01656-k
fatcat:eeal7lcavzgj7aimeg6awjxhti
*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. ...##
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Robust Portfolio Selection Problems: A Comprehensive Review
[article]

2022
*
arXiv
*
pre-print

Several open questions and potential

arXiv:2103.13806v2
fatcat:yktqhsnu3ffujjl2rwqgs2yhee
*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. ...##
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Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection

2017
*
Journal of Industrial and Management Optimization
*

In proposed model, the

doi:10.3934/jimo.2018056
fatcat:qsowwpgaejgoto6vi32flzoevm
*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*. ...
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