This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...

This article examines the relationship between judgments of risk and judgments of expected return of financial assets. It suggests that for unfamiliar assets, both risk and return judgments are derived from global preference toward the asset, whereas for familiar assets, these judgments tend to be derived from the ecological values of the asset’s risk and expected return—their values in the fin...

In this empirical study, we investigate the effects of IT investments on firm risk-return profile, emphasizing the complementarities between IT investments and firm boundary strategies; i.e., diversification and vertical integration. Our results are consistent with a strong moderating role of IT in leveraging firm boundary strategies on both the return and risk dimensions of firm financial perf...

For survival and development, autonomous agents in complex adaptive systems involving the human society must compete against or collaborate with others for sharing limited resources or wealth, by using different methods. One method is to invest, in order to obtain payoffs with risk. It is a common belief that investments with a positive risk-return relationship (namely, high risk high return an...

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...

Many decisions people make can be described as decisions under risk. Understanding the mechanisms that drive these decisions is an important goal in decision neuroscience. Two competing classes of risky decision making models have been proposed to describe human behavior, namely utility-based models and risk-return models. Here we used a novel investment decision task that uses streams of (past...

A method for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking risk premium to investors’ risk aversion and forward-looking volatility, skewness and kurtosis of cumulative return. In addition, investors’ risk aversion is theoretically linked to volatility spread, defined as the gap between the risk-neutr...