A risk-minimizing portfolio model under uncertainty with randomness and fuzziness is discussed. By a perception-based extension of estimations for fuzzy random variables, the risk-minimizing portfolio problem is developed. In the uncertainty model, the randomness and fuzziness are evaluated respectively by the probabilistic expectation and mean values with evaluation weights and -mean functions...

in traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. so decision maker cannot estimate them exactly. financial optimization is one of the most attractive areas in decision under uncertainty. in the portfolio selection problem the decision maker considers simultaneously conflicting objectives such as ra...

Conventionally, portfolio selection problems are solved with quadratic or linear programming models. However, the solutions obtained by these methods are in real numbers and difficult to implement because each asset usually has its minimum transaction lot. Methods considering minimum transaction lots were developed based on some linear portfolio optimization models. However, no study has ever i...

based on credibilistic value-at-risk (cvar) of regularfuzzy variable, we introduce a new cvar reduction method fortype-2 fuzzy variables. the reduced fuzzy variables arecharacterized by parametric possibility distributions. we establishsome useful analytical expressions for mean values and secondorder moments of common reduced fuzzy variables. the convex properties of second order moments with ...

Based on the theory of existing research project portfolio management, paper analyzes key factors selection, and evaluates them using fuzzy comprehensive evaluation method. Finally, builds a choice integer programming model based 0/1 programming, which is organizations strategies.

choosing the right set of projects is the first step of project oriented firms in strategic project portfolio management. since economic growth depends on environmental and social issues, sustainable development has been an essential part of firms' plans to keep their competitive advantage. moreover, market conditions, fast worldwide changes and other similar issues have given these issue ...

The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modern finance. In this paper we will assume that (i) each investor can assign a welfare, or utility, score to competing investment portfolios based on the expected return and risk of the portfolios; and (ii) the rates of return on securities...

Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. Based on this fact, possibilistic mean-variance utilities to portfolio selection for bounded assets are discussed in this paper. The possibilistic mean value of the expected return is termed measure of investment return and the possibili...

Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of ris...

Abstract In a portfolio selection problem, the first step is to choose suitable stocks at the right time. Many approaches and principles have been used to help investor solve the problem. This paper documents a new approach for the portfolio selection problem based on the combined method of Constrained Fuzzy Analytic Hierarchy Process (CFAHP) and the Preference Ranking Organization Method for E...