nach oben

Soft Computing

Erschienen in:

04.07.2021 | Foundations

A risk index to find the optimal uncertain random portfolio

verfasst von: Rouhollah Mehralizade, Mohammad Amini, Bahram Sadeghpour Gildeh, Hamed Ahmadzade

Erschienen in: Soft Computing | Ausgabe 15/2021

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

It is possible in a stock exchange that some candidate securities possess sufficient transaction data, and some others are newly listed and lack enough data. If an investor wants to choose a portfolio that contains two types of securities mentioned, none of the probability theory and uncertainty theory, alone, can be applied. In this case, the chance theory can be useful. For this purpose, in this paper, we discuss the uncertain random portfolio- which is a portfolio containing some candidate securities that have sufficient transaction data and some newly listed ones with insufficient transaction data-selection problem. Indeed, this paper introduces a new risk criterion and proposes a new type of mean-risk model based on this criterion to find the optimal uncertain random portfolio. And in the end, a numerical example is presented for the sake of illustration.

Vorheriger Artikel On f-divergence for --measures

Nächster Artikel Analysis of retrial queue with vacation, feedback, two-way communication and impatient customers

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 390 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Maschinenbau + Werkstoffe

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Ahmadzade H, Gao R (2019) Covariance of uncertain random variables and its application to portfolio optimization. J Ambient Intell Human Comput. https://doi.org/10.1007/s12652-019-01323-0CrossRef

Ahmadzade H, Gao R, Dehghan MH, Ahmadi R (2018) Partial triangular entropy of uncertain random variables and its application. J Ambient Intell Human Comput 9(5):1455–1464CrossRef

Ahmadzade H, Gao R, Naderi H, Farahikia M (2019) Partial divergence measure of uncertain random variables and its application. Soft Comput. https://doi.org/10.1007/s00500-019-03929-0MATHCrossRef

Bhattacharyya R, Kar S, Majumder DD (2011) Fuzzy mean-variance-skewness portfolio selection models by interval analysis. Comput Math Appl 61(1):126–137MathSciNetMATHCrossRef

Bhattacharyya R, Chatterjee A, Samarjit K (2012) Mean-variance-skewness portfolio selection model in general uncertain environment. Indian J Ind Appl Math 3(1):45–61

Brentani C (2004) Portfolio management in practice. Elsevier Butterworth-Heinemann, Oxford

Chen Y, Liu Y, Wu X (2012) A new risk criterion in fuzzy environment and its application. Appl Math Model 36(7):3007–3028MathSciNetMATHCrossRef

Chen L, Peng J, Zhang B, Rosyida I (2017) Diversified models for portfolio selection based on uncertain semivariance. Int J Syst Sci 48(3):637–648MathSciNetMATHCrossRef

Hou Y (2014) Subadditivity of chance measure. J Uncertain Anal Appl 2(14):1–8

Huang X (2008a) Portfolio selection with a new definition of risk. Eur J Oper Res 186(1):351–357MathSciNetMATHCrossRef

Huang X (2008b) Mean-semivariance models for fuzzy portfolio selection. J Comput Appl Math 217(1):1–9. https://doi.org/10.1016/j.cam.2007.06.009MathSciNetMATHCrossRef

Huang X (2008c) Risk curve and fuzzy portfolio selection. Comput Math Appl 55:1102–1112MathSciNetMATHCrossRef

Huang X (2011a) Mean-risk model for uncertain portfolio selection. Fuzzy Optim Decis Making 10(1):71–89MathSciNetMATHCrossRef

Huang X (2011b) Minimax mean-variance models for fuzzy portfolio selection. Soft Comput 15:251–260. https://doi.org/10.1007/s00500-010-0654-3MATHCrossRef

Huang X (2012a) A risk index model for portfolio selection with returns subject to experts’ estimations. Fuzzy Optim Decis Making 11(4):451–463MathSciNetMATHCrossRef

Huang X (2012b) Mean-variance models for portfolio selection subject to experts’ estimations. Expert Syst Appl 39(5):5887–5893CrossRef

Huang X, Qiao L (2012) A risk index model for multi-period uncertain portfolio selection. Inf Sci 217:108–116MathSciNetMATHCrossRef

Huang X, Ying H (2013) Risk index based models for portfolio adjusting problem with returns subject to experts’ evaluations. Econ Model 30:61–66CrossRef

Huang X, Zhao T (2014) Mean-chance model for portfolio selection based on uncertain measure. Insur Math Econ 59:243–250MathSciNetMATHCrossRef

Kamdem JS, Deffo CT, Fono LA (2012) Moments and semi-moments for fuzzy portfolio selection. Insur Math Econ 51:517–530MathSciNetMATHCrossRef

Konno H, Suzuki KI (1995) A mean-variance-skewness portfolio optimization model. J Oper Res Soc Jpn 38(2):173–187MATH

Krejic N, Kumaresan M, Roznjik A (2011) VaR optimal portfolio with transaction costs. Appl Math Comput 218(8):4626–4637MathSciNetMATH

Li X, Qin Z (2014) Interval portfolio selection models within the framework of uncertainty theory. Econ Model 41:338–344CrossRef

Li X, Qin Z, Kar S (2010) Mean-variance-skewness model for portfolio selection with fuzzy returns. Eur J Oper Res 202(1):239–247. https://doi.org/10.1016/j.ejor.2009.05.003MATHCrossRef

Liu B (2007) Uncertainty theory, 2nd edn. Springer, BerlinMATH

Liu B (2009) Some research problems in uncertainty theory. J Uncertain Syst 3(1):3–10

Liu B (2010) Uncertainty theory: a branch of mathematics for modeling human uncertainty. Springer, BerlinCrossRef

Liu B (2012) Why is there a need for uncertainty theory? J Uncertain Syst 6(1):3–10

Liu Y (2013) Uncertain random programming with applications. Fuzzy Optim Decis Making 12(2):153–169MathSciNetMATHCrossRef

Liu Y (2013) Uncertain random variables: a mixture of uncertainty and randomness. Soft Comput 17(4):625–634MATHCrossRef

Liu Y, Ahmadzade H, Farahikia M (2021) Portfolio selection of uncertain random returns based on value at risk. Soft Comput 25:6339–6346. https://doi.org/10.1007/s00500-021-05623-6CrossRef

Markowitz H (1952) Portfolio selection. J Finance 7(1):77–91

Markowitz H (1959) Portfolio selection: efficient diversification of investments. Yale University Press, New Haven

Mehralizade R, Amini M, Sadeghpour Gildeh B, Ahmadzade H (2020) Uncertain random portfolio selection based on risk curve. Soft Comput. https://doi.org/10.1007/s00500-020-04751-9CrossRef

Qin Z (2015) Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns. Eur J Oper Res 245(2):480–488MathSciNetMATHCrossRef

Qin Z, Wen M, Gu C (2011) Mean-absolute deviation portfolio selection model with fuzzy returns. Iran J Fuzzy Syst 8(4):61–75MathSciNetMATH

Qin Z, Kar S, Zheng H (2016) Uncertain portfolio adjusting model using semiabsolute deviation. Soft Comput 20(2):717–725MATHCrossRef

Qin Z, Dai Y, Zheng H (2017) Uncertain random portfolio optimization models based on value-at-risk. J Intell Fuzzy Syst 32(6):4523–4531CrossRef

Ramli S, Jaaman SH (2019) Several extended mean-variance fuzzy portfolio selection models based on possibility theory. J Phys Conf Ser 1212:1–10. https://doi.org/10.1088/1742-6596/1212/1/012027CrossRef

Sheng Y, Gao Y (2016) Shortest path problem of uncertain random network. Comput Ind Eng 99:97–105CrossRef

Tanaka H, Guo P, Turksen IB (2000) Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy Sets Syst 111(3):387–397MathSciNetMATHCrossRef

Tong XJ, Qi LQ, Wu F, Zhou H (2010) A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset. Appl Math Comput 216(6):1723–1740MathSciNetMATH

Vitale G (2020) Risk analysis via Lukasiewicz logic. Soft Comput 24:13651–13655. https://doi.org/10.1007/s00500-019-04440-2CrossRef

Zhang B, Peng J, Li S (2015) Uncertain programming models for portfolio selection with uncertain returns. Int J Syst Sci 46(14):2510–2519MathSciNetMATHCrossRef

Titel: A risk index to find the optimal uncertain random portfolio
verfasst von: Rouhollah Mehralizade
Mohammad Amini
Bahram Sadeghpour Gildeh
Hamed Ahmadzade
Publikationsdatum: 04.07.2021
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 15/2021
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-021-05980-2

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Springer Professional "Technik"

Weitere Artikel der Ausgabe 15/2021

Selection Industry 4.0 maturity model using fuzzy and intuitionistic fuzzy TOPSIS methods for a solar cell manufacturing company

Ambient air quality assessment using ensemble techniques

Supplier’s cooperation strategy with two competing manufacturers under wholesale price discount contract considering technology investment

An improved multi-criteria emergency decision-making method in environmental disasters

Exploratory cuckoo search for solving single-objective optimization problems

Circular antenna array optimization using modified social group optimization algorithm

Premium Partner