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Soft Computing
Published in: Soft Computing 8/2021

15-02-2021 | Methodologies and Application

Portfolio selection of uncertain random returns based on value at risk

Authors: Yajuan Liu, Hamed Ahmadzade, Mehran Farahikia

Published in: Soft Computing | Issue 8/2021

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Abstract

Value at risk is a device to measure the maximum possible loss when the right tail distribution is ignored. Since uncertain random variables provide a tool to deal with phenomena in which uncertainty and randomness simultaneously exist, this paper proposes a computational approach for value at risk of uncertain random variables. In fact, a chance distribution can be expressed based on expectation with respect to probability distribution functions. Thus, chance distributions are computed via Monte Carlo simulation. And consequently, value at risk is obtained via statistical quintile index. As an application in finance, portfolio selection problems of uncertain random returns are optimized via mean–value at risk models.
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Metadata
Title
Portfolio selection of uncertain random returns based on value at risk
Authors
Yajuan Liu
Hamed Ahmadzade
Mehran Farahikia
Publication date
15-02-2021
Publisher
Springer Berlin Heidelberg
Published in
Soft Computing / Issue 8/2021
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI
https://doi.org/10.1007/s00500-021-05623-6

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