教師資料查詢 | 類別: 期刊論文 | 教師: 曹銳勤 RUEY-CHYN TSAUR (瀏覽個人網頁)

標題:Fuzzy portfolio model with different investor risk attitudes
學年101
學期2
出版(發表)日期2013/06/01
作品名稱Fuzzy portfolio model with different investor risk attitudes
作品名稱(其他語言)
著者Tsaur, Ruey-Chyn
單位淡江大學管理科學學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數European Journal of Operational Research 227(2), pp.385-390
摘要We propose a fuzzy portfolio model designed for efficient portfolio selection with respect to uncertain or vague returns. Although many researchers have studied the fuzzy portfolio model, no researcher has yet attempted a behavioral analysis of the investor in the fuzzy portfolio model. To address this problem, we examined investor risk attitudes—risk-averse, risk-neutral, or risk-seeking behaviors—to discover an efficient method for fuzzy portfolio selection. In this study, we relied on the advantages of possibilistic mean–standard deviation models that we believed would fit the risk attitudes of investors. Thus, we developed a fuzzy portfolio model that focuses on different investor risk attitudes so that fuzzy portfolio selection for investors who possess different risk attitudes can be achieved more easily. Finally, we presented a numerical example of a portfolio selection problem to illustrate ways to address problems presented by a variety of investor risk attitudes.
關鍵字Decision analysis;Fuzzy portfolio model;Risk attitude;Possibilistic mean–standard deviation model
語言英文
ISSN1872-6860
期刊性質國外
收錄於SCI;
產學合作
通訊作者Tsaur, Ruey-Chyn
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
相關連結
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