Top

Soft Computing

Published in:

28-11-2014 | Methodologies and Application

Uncertain portfolio adjusting model using semiabsolute deviation

Authors: Zhongfeng Qin, Samarjit Kar, Haitao Zheng

Published in: Soft Computing | Issue 2/2016

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

search-config

AI-assisted search

Off

Abstract

Since the financial markets are complex, sometimes the future security returns are represented mainly based on experts’ judgments. This paper discusses a portfolio adjusting problem with risky assets in which security returns are given subject to experts’ estimations. Here, we propose uncertain mean-semiabsolute deviation adjusting models for portfolio optimization problem in the trade-off between risk and return on investment. Various uncertainty distributions of the security returns based on experts’ evaluations are used to convert the proposed models into equivalent deterministic forms. Finally, numerical examples with synthetic uncertain returns are illustrated to demonstrate the effectiveness of the proposed models and the influence of transaction cost in portfolio selection.

previous article A neural-network-based online optimal control approach for nonlinear robust decentralized stabilization

next article ODMA: a novel swarm-evolutionary metaheuristic optimizer inspired by open source development model and communities

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

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!

inform now

Available only for authorised users

Arnott RD, Wagner WH (1990) The measurement and control of trading costs. Financ Anal J 46(6):73–80

Baule R (2010) Optimal portfolio selection for the small investor considering risk and transaction costs. OR Spectr 32:61–76MATHCrossRef

Bertsimas D, Pachamanova D (2008) Robust multiperiod portfolio management in the presence of transaction costs. Comput Oper Res 35:3–17MATHMathSciNetCrossRef

Chen X, Liu Y, Ralescu DA (2013) Uncertain stock model with periodic dividends. Fuzzy Optim Decis Mak 12(1):111–123MathSciNetCrossRef

Choi UJ, Jang B, Koo H (2007) An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes. Appl Math Comput 191(1):239–252MATHMathSciNetCrossRef

Fang Y, Lai K, Wang S (2006) Portfolio rebalancing model with transaction costs based on fuzzy decision theory. Eur J Oper Res 175(2):879–893MATHCrossRef

Gao Y (2011) Shortest path problem with uncertain arc lengths. Comput Math Appl 62(6):2591–2600MATHMathSciNetCrossRef

Glen JJ (2011) Mean-variance portfolio rebalancing with transaction costs and funding changes. J Oper Res Soc 62:667–676CrossRef

Huang X (2011) Mean-risk model for uncertain portfolio selection. Fuzzy Optim Decis Mak 10:71–89MATHMathSciNetCrossRef

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

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

Konno H, Yamazaki H (1991) Mean absolute portfolio optimisation model and its application to Tokyo stock market. Manag Sci 37(5):519–531CrossRef

Lee W, Yu J (2011) Portfolio rebalancing model using multiple criteria. Eur J Oper Res 209(2):166–175MATHMathSciNetCrossRef

Li X, Qin Z (2014) Interval portfolio selection models within the framework of uncertainity theory. Econ Model 41(1):338–344CrossRef

Li S, Peng J, Zhang B (2013) The uncertain premium principle based on the distortion function. Insur Math Econ 53:317–324MATHMathSciNetCrossRef

Liu B (2007) Uncertainity theory, 2nd edn. Springer, Berlin

Liu B (2010) Uncertainty theory: a branch of mathematics for modeling human uncertainty, 3rd edn. Springer, BerlinCrossRef

Liu Y, Qin Z (2012) Mean semi-absolute deviation model for uncertain portfolio optimization problem. J Uncertain Syst 6(4):299–307

Lobo MS, Fazel M, Boyd S (2007) Portfolio optimization with linear and fixed transaction costs. Ann Oper Res 152:341–365MATHMathSciNetCrossRef

Markowitz H (1993) Computation of mean-semivariance efficient sets by the critical line algorithm. Ann Oper Res 45:307–317

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

Morton AJ, Pliska SR (1995) Optimal portfolio management with transaction costs. Math Financ 5(4):337–356MATHCrossRef

Ning Y, Liu J, Yan L (2013) Uncertain aggregate production planning. Soft Comput 17(4):617–624CrossRef

Patel N, Subrahmanyam M (1982) A simple algorithm for optimal portfolio selection with fixed transaction costs. Manag Sci 28(3):303–314MATHMathSciNetCrossRef

Qin Z, Kar S (2013) Single-period inventory problem under uncertain environment. Appl Math Comput 219(18):9630–9638MATHMathSciNetCrossRef

Qin Z, Kar S, Li X (2009) Developments of mean-variance model for portfolio selection in uncertain environment. http://orsc.edu.cn/online/090511

Simaan Y (1997) Estimation risk in portfolio selection: the mean variance model and the mean-absolute deviation model. Manag Sci 43:1437–1446CrossRef

Speranza MG (1993) Linear programming model for portfolio optimization. Finance 14:107–123

Wen M, Qin Z, Kang R (2014) The \(\alpha \)-cost minimization model for capacitated facility location-allocation problem with uncertain demands. Fuzzy Optim Decis Mak 13:345–356MathSciNetCrossRef

Wen M, Qin Z, Yang Y (2014) Sensitivity and stability analysis of the additive model in uncertain data envelopment analysis. Soft Comput. doi:10.1007/s00500-014-1385-7 (In press)

Yao K, Ji X (2014) Uncertain decision making and its application to portfolio selection problem. Int J Uncertain Fuzziness Knowl Based Syst 22(1):113–123MathSciNetCrossRef

Yoshimoto A (1996) The mean-variance approach to portfolio optimization subject to transaction costs. J Oper Res Soc Jpn 39(1):99–117MATHMathSciNet

Zhang W, Zhang X, Chen Y (2011) Portfolio adjusting optimization with added assets and transaction costs based on credibility measures. Insur Math Econ 49:353–360MATHCrossRef

Zhu Y (2010) Uncertain optimal control with application to a portfolio selection model. Cybern Syst 41(7):535–547MATHCrossRef

Title: Uncertain portfolio adjusting model using semiabsolute deviation
Authors: Zhongfeng Qin
Samarjit Kar
Haitao Zheng
Publication date: 28-11-2014
Publisher: Springer Berlin Heidelberg
Published in: Soft Computing / Issue 2/2016
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-014-1535-y

Springer Professional

Abstract

Please log in to get access to your license.

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

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Springer Professional "Technik"

Other articles of this Issue 2/2016

Adaptive direction information in differential evolution for numerical optimization

Almost sure stability for uncertain differential equation with jumps

Optimal pricing decisions in a fuzzy dual-channel supply chain

Training multi-agent teams from zero knowledge with the competitive coevolutionary team-based particle swarm optimiser

Assessment of voltage stability margin by comparing various support vector regression models

On pseudo-BL-algebras and pseudo-hoops with normal maximal filters

Premium Partner