期刊論文

標題 Fuzzy Portfolio Selection Using a Weighted Function of Possibilistic Mean and Variance in Business Cycles
學年 104
學期 2
出版(發表)日期 2016/04/01
作品名稱 Fuzzy Portfolio Selection Using a Weighted Function of Possibilistic Mean and Variance in Business Cycles
作品名稱(其他語言)
著者 I-Fei Chen; Ruey-Chyn Tsaur
單位
出版者
著錄名稱、卷期、頁數 International Journal of Fuzzy Systems 18(2), p.151–159
摘要 Investment portfolios are typically selected to reduce investment risk. In an economic recession or depression, investment strategies tend to be short term, subtle, and uncertain. When the economy is recovering or booming, investors should approach portfolio selection differently in response to the varying investment return and risk. Therefore, this study posits that different portfolios should be selected in different stages of the business cycle. An improved function for weighting possibilistic mean and variance is proposed, and a weighted fuzzy portfolio model for various investment conditions is then derived. Finally, a numerical example is presented to illustrate that the proposed models can obtain the optimal proportion of an investment throughout the business cycle to meet investors’ expectations.
關鍵字 Fuzzy portfolio model;Efficient portfolio;Weighted function;Business cycles
語言 英文
ISSN 1562-2479;2199-3211
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 德國
公開徵稿
出版型式 ,電子版,紙本