Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
Events
DE
EN
Books
Journals
Topic Page
Marketing
Start single access now
Access for companies
EXTENDED SEARCH
Log in
Top
Published in:
Summary of Research on PPP Model Smart City Construction Under the Big Data Background Read chapter Read first chapter

2018 | OriginalPaper | Chapter

A Mean-Fuzzy Random VaR Portfolio Selection Model in Hybrid Uncertain Environment

Author : Jun Li

Published in: Proceedings of the Fifth International Forum on Decision Sciences

Publisher: Springer Singapore

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

This paper aims to study portfolio optimization in hybrid uncertain environment. Different from the existing researches, this paper first presents the definition of fuzzy random Value-at-risk to measure investment risk and uses the λ-average value of the expected value of the fuzzy random return rate of a portfolio to measure investment return. Then a new mean-fuzzy random VaR portfolio selection model in which return rates of securities are assumed to be fuzzy random variables is proposed. Random simulation technologies are combined together with fuzzy simulation technologies to calculate fuzzy random Value-at-Risk, and a hybrid particle swarm optimization-based hybrid intelligent algorithm is designed to solve the proposed model. Finally, a numerical example is given to illustrate the application of this proposed model. The comparison results between HPSO-HIA and PSO-HIA show that the proposed algorithm- HPSO-HIA is effective for solving the proposed model.

Dont have a licence yet? Then find out more about our products and how to get one now:

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!

inform now

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!

inform now
previous chapter Risk Assessment of Government Purchased Pension Services Based on AHP-FCE
next chapter The Improved Saving Algorithm of VSP with Hybrid Time Windows Constraints
Literature
1.
Markowitz H (1952) Portfolio selection. J Finance 7:77–91
2.
Yoshimoto A (1996) The mean-variance approach to portfolio optimization subject to transaction costs. J Oper Res Soc Jpn 39(1):99–117CrossRef
3.
Best MJ, Hlouskova J (2000) The efficient frontier for bounded asset. Math Methods Oper Res 52(2):195–212CrossRef
4.
Deng XT, Li ZF, Wang SY (2005) A minimax portfolio selection strategy with equilibrium. Eur J Oper Res 166(1):278–292CrossRef
5.
Corazza M, Favaretto D (2007) On the existence of solutions to the quadratic mixed-integer mean–variance portfolio selection problem. Eur J Oper Res 176(3):1947–1960CrossRef
6.
Grootveld H, Hallerbach W (1999) Variance vs downside risk: is there really that much difference? Eur J Oper Res 114(2):304–319CrossRef
7.
Campbell R, Huisman R, Koedijk K (2001) Optimal portfolio selection in a Value-at-risk framework. J Bank Finance 25:1789–1804CrossRef
8.
Alexander GJ, Baptista AM (2002) Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis [J]. J Econ Dyn Control 26:1159–1193CrossRef
9.
Benati S, Rizzi R (2007) A mixed integer linear programming formulation of the optimal mean/Value-at-risk portfolio problem. Eur J Oper Res 176:423–434CrossRef
10.
Yiu KFC (2004) Optimal portfolios under a value-at-risk constraint. J Econ Dyn Control 28:1317–1334CrossRef
11.
Giannopoulos K, Clark E, Tunaru R (2005) Portfolio selection under VaR constraints. CMS 2:123–138CrossRef
12.
Danielsson J, Jorgensen B, Vris CG, Yang X (2008) Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Ann Finance 4:345–367CrossRef
13.
Liu YJ, Zhang WG (2013) Fuzzy portfolio optimization model under real constraints. Insur Math Econ 53:704–711CrossRef
14.
15.
Liu B (2002) Theory and practice of uncertain programming. Physica, HeidelbergCrossRef
16.
Luhandjula MK (2004) Optimisation under hybrid uncertainty. Fuzzy Sets Syst 146:187–203CrossRef
17.
Luhandjula MK (2006) Fuzzy stochastic linear programming: survey and future research directions. Eur J Oper Res 174(3):1353–1367CrossRef
18.
Li J, Xu JP, Gen M (2006) A class of fuzzy random multiobjective programming problem. Math Comput Model 44:1097–1113CrossRef
19.
Katagiri H, Ishii H (1999) Fuzzy portfolio selection problem. In: Paper to be presented at the IEEE international conference on systems, man, and cybernetics
20.
Smimou K, Bector CR, Jacoby G (2008) Portfolio selection subject to experts’ judgments. Int Rev Financial Anal 17(5):1036–1054CrossRef
21.
Li J, Xu JP (2009) A novel portfolio selection model in hybrid uncertain environment. Omega-Int J Manag Sci 37(2):439–449CrossRef
22.
Zmeskal Z (2005) Value at risk methodology under soft conditions approach (fuzzy-stochastic approach). Eur J Oper Res 161:337–347CrossRef
23.
Yoshida Y (2009) An estimation model of value-at-risk portfolio under uncertainty. Fuzzy Sets Syst 160:3250–3262CrossRef
24.
Puri ML, Ralescu DA (1986) Fuzzy random variables. J Math Anal Appl 114:409–422CrossRef
25.
López-Díaz M, Gil MA (1998) The λ-average value and the fuzzy expectation of a fuzzy random variable. Fuzzy Sets Syst 99:347–352CrossRef
26.
Liu Y, Liu B (2005) On minimum-risk problems in fuzzy random decision systems. Comput Oper Res 32:257–283CrossRef
27.
28.
Peng J (2008) Measuring fuzzy risk with credibilistic value at risk. In: Paper to be presented at the Third international conference on innovative computing, information and control, Dalian
29.
Wang S, Watada J (2012) A hybrid modified PSO approach to VaR-based facility location problems with variable capacity in fuzzy random uncertainty. Inf Sci 192:3–18CrossRef
30.
Campos LM, González A (1989) A subjective approach for ranking fuzzy numbers. Fuzzy Sets Syst 29:45–153
31.
Liu B (2002) Theory and practice of uncertain programming. Physica Verlag, New YorkCrossRef
32.
Kennedy J, Eberhart RC (1995) Particle swarm optimization. In: Paper to be presented at the IEEE international conference neural network
33.
Kennedy J, Eberhart RC, Shi Y (2001) Swarm intelligency. Morgan Kaufman Publishers, San Francisco
34.
He Q, Wang L (2007) A hybrid particle swarm optimization with a feasibility-based rule for constrained optimization. Appl Math Comput 186:1407–1422
Metadata
Title
A Mean-Fuzzy Random VaR Portfolio Selection Model in Hybrid Uncertain Environment
Author
Jun Li
Copyright Year
2018
Publisher
Springer Singapore
Book
Proceedings of the Fifth International Forum on Decision Sciences

Print ISBN: 978-981-10-7816-3

Electronic ISBN: 978-981-10-7817-0

Copyright Year: 2018

DOI
https://doi.org/10.1007/978-981-10-7817-0_13

Premium Partner

    Image Credits