期刊論文

學年 111
學期 2
出版（發表）日期 2023-02-24
作品名稱 Fuzzy Portfolio Selection in the Risk Attitudes of Dimension Analysis under the Adjustable Security Proportions
作品名稱（其他語言）
著者 Chen, Kuen-Suan, Yin-Yin Huang, Ruey-Chyn Tsaur, and Nei-Yu Lin
單位
出版者
著錄名稱、卷期、頁數 Mathematics 2023, 11(5), 1143
摘要 Fuzzy portfolio models have received many researchers’ focus on the issue of risk preferences. The portfolio based on guaranteed return rates has been developing and considering the dimension of excess investment for the investors in different risk preferences. However, not only excess investment but also shortage investment to the selected portfolio should be considered for risk preferences, including risk-seeking, risk-neutral, and risk-averse, by different degrees of dimensions in excess investment and shortage investment. A comparison to the degree of dimensions for the excess investment and shortage investment indicates that a risk-seeker would like to have excess investment for securities whose return rates are bigger than the guaranteed return rates and shortage investment for securities whose return rates are smaller than the guaranteed return rates. Finally, we present three experiments to illustrate the proposed model. The results show that the different risk preferences derive different fuzzy portfolio selections under s and t dimensions, where a lower value of s is suggested for a risk-seeker as t > s, and we suggest the values of s and t to be smaller than or equal to 3. By contrast, for the risk-neutral investor, we suggest s = t; t < s is suggested to the investor who is risk-averse.
關鍵字 fuzzy portfolio selection; dimension of shortage investment; dimension of excess investment; guaranteed return rate; adjustable security proportion
語言 en
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 否
國別 CHE
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125625 )