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 Selection Using a Weighted Function of Possibilistic Mean and Variance in Business Cycles
學年
學期
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Chen, I.-F.; Tsaur, R.-C.
單位
出版者
著錄名稱、卷期、頁數International Journal of Fuzzy Systems 18(2), pp.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
ISSN1562-2479;2199-3211
期刊性質國外
收錄於SCI;
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
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