PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION
نویسندگان
چکیده
منابع مشابه
MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION
In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...
متن کاملMEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS
In this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. We first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. Then we propose two mean-absolute deviation models by defining risk as abs...
متن کاملmean-absolute deviation portfolio selection model with fuzzy returns
in this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. we first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. then we propose two mean-absolute deviation models by defining risk as abs...
متن کاملKlasifikasi Data Cardiotocography Dengan Integrasi Metode Neural Network Dan Particle Swarm Optimization
Backpropagation (BP) adalah sebuah metode yang digunakan dalam training Neural Network (NN) untuk menentukan parameter bobot yang sesuai. Proses penentuan parameter bobot dengan menggunakan metode backpropagation sangat dipengaruhi oleh pemilihan nilai learning rate (LR)-nya. Penggunaan nilai learning rate yang kurang optimal berdampak pada waktu komputasi yang lama atau akurasi klasifikasi yan...
متن کاملDetermining OWA Operator Weights by Mean Absolute Deviation Minimization
The ordered weighted averaging (OWA) operator uses the weights assigned to the ordered values rather than to the specific criteria. This allows one to model various aggregation preferences, preserving simultaneously the impartiality (neutrality) with respect to the individual attributes. The determination of ordered weighted averaging (OWA) operator weights is a crucial issue of applying the OW...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: E-Jurnal Matematika
سال: 2021
ISSN: 2303-1751
DOI: 10.24843/mtk.2021.v10.i02.p322