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:Guaranteed Rate of Return for Excess Investment in a Fuzzy Portfolio Analysis
學年109
學期1
出版(發表)日期2020/11/21
作品名稱Guaranteed Rate of Return for Excess Investment in a Fuzzy Portfolio Analysis
作品名稱(其他語言)
著者Ruey-Chyn Tsaur; Chien-Liang Chiu; Yin-Yin Huang
單位
出版者
著錄名稱、卷期、頁數International Journal of Fuzzy Systems 23, p.94-106
摘要With increasing profit in securities investment, portfolio analysis has become a major topic for investors. We propose a fuzzy portfolio model as it is an efficient portfolio selection method associated with uncertain or vague returns. Although many researchers focus on studying the fuzzy portfolio model, they do not consider excess investment based on the selected guaranteed rates of return for some securities. To manage such an investment, a new fuzzy return function—where some securities are considered for excess investment based on the selected guaranteed rate of return—is introduced to improve the possibilistic mean and variance values, leading to a revised fuzzy portfolio model. Accordingly, to set certain securities for excess investment in the fuzzy return function, efficient portfolios for each selected guaranteed rate of return can be obtained under different levels of investment risk. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model. This example shows that the expected rate of return of a lower guaranteed rate of return is larger than that of a higher guaranteed rate of return under different levels of investment risks. The portfolio analysis with some guaranteed rate of returns can provide more invested risk selection.
關鍵字Fuzzy portfolio model;Efficient portfolio;Guaranteed rate of return;Excess investment
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
國別中華民國
公開徵稿
出版型式,電子版,紙本
相關連結
SDGs
  • 優質教育,尊嚴就業與經濟發展,產業創新與基礎設施
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