期刊論文
| 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 | en |
| ISSN | 1872-6860 |
| 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 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92452 ) |