期刊論文

標題 Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates
學年 110
學期 1
出版(發表)日期 2021/11/25
作品名稱 Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates
作品名稱(其他語言)
著者 Yin-Yin Huang; I-Fei Chen; Chien-Liang Chiu; Ruey-Chyn Tsaur
單位
出版者
著錄名稱、卷期、頁數 Mathematics 9(23), 3026
摘要 Based on the concept of high returns as the preference to low returns, this study discusses the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates in a fuzzy environment, in which the return rates for selected securities are characterized by fuzzy variables. We suppose some securities are for excess investment because their return rates are higher than the guaranteed return rates, and the other securities whose return rates are lower than the guaranteed return rates are considered for shortage investment. Then, we solve the proposed expected fuzzy returns by the concept of possibility theory, where fuzzy returns are quantified by possibilistic mean and risks are measured by possibilistic variance, and then we use linear programming model to maximize the expected value of a portfolio’s return under investment risk constraints. Finally, we illustrate two numerical examples to show that the expected return rate under a lower guaranteed return rate is better than a higher guaranteed return rates in different levels of investment risks. In shortage investments, the investment proportion for the selected securities are almost zero under higher investment risks, whereas the portfolio is constructed from those securities in excess investments.
關鍵字 fuzzy portfolio model;efficient portfolio;guaranteed return rates;excess investment;shortage investment
語言 英文
ISSN 2227-7390
期刊性質 國外
收錄於 SCI;
產學合作
通訊作者 Ruey-Chyn Tsaur
審稿制度
國別 瑞士
公開徵稿
出版型式 ,電子版