Robust Mean-Variance Portfolio Selection Problem Including Fuzzy Factors
نویسندگان
چکیده
This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, since it is difficult to solve them analytically and efficiently due to nonlinear programming problems, the solution method is constructed introducing a parameter and doing the equivalent transformations.
منابع مشابه
Robust Portfolio Selection Problems Including Uncertainty Factors
This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore...
متن کاملMULTIPERIOD 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 کاملRobust Optimal Portfolio Model
In this paper, we consider the robust optimal portfolio selection problem where the return mean and covariance are supposed to be uncertain comparing to Markowitz’s model. The return mean is uncertain changing in intervals, and we introduce the cuts of fuzzy number to build the uncertain intervals for covariance. We report on empirical tests in which we compare the robust model with the classic...
متن کاملKurtosis and Semi-kurtosis for Portfolios Selection with Fuzzy Returns
The literature on portfolio analysis assumes that the securities returns are random variables with fixed expected returns and variances values (see Bachelier [1], Briec et al. [4] and Markowitz [10]). However, since investors receive efficient or inefficient information from the real world, ambiguous factors usually exist in it. Consequently, we need to consider not only random conditions but a...
متن کاملConstraint Method for Possibilistic Mean-variance Portfolio with Transaction Costs and Lending
Portfolio selection is an important issue for researchers and practitioners. Compared with the conventional probabilistic mean-variance method, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, the portfolio selection model with transaction costs and lending is proposed by means of possibilistic mean and possibilistic variance under the assum...
متن کامل