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International Journal of Machine Learning and Cybernetics
Published in: International Journal of Machine Learning and Cybernetics 9/2022

06-04-2022 | Original Article

Uncertain random portfolio optimization via semi-variance

Authors: Guangquan Cheng, Hamed Ahmadzade, Mehran Farahikia, Masoud Yarmohammadi

Published in: International Journal of Machine Learning and Cybernetics | Issue 9/2022

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Abstract

Semi-variance is a similar measure to variance, but it only considers values that are below the expected value. As important roles of semi-variance in finance, this paper proposes the concept of semi-variance for uncertain random variables. Also, a computational approach for semi-variance is provided via inverse uncertainty distribution. As an application in finance, portfolio selection problems of uncertain random returns are solved by minimizing semi-variance in mean-semi variance models. For better illustration, mean-semi variance model is compared with mean-variance one. Finally, for better understanding, some tables, figures and outputs are provided.
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Metadata
Title
Uncertain random portfolio optimization via semi-variance
Authors
Guangquan Cheng
Hamed Ahmadzade
Mehran Farahikia
Masoud Yarmohammadi
Publication date
06-04-2022
Publisher
Springer Berlin Heidelberg
Published in
International Journal of Machine Learning and Cybernetics / Issue 9/2022
Print ISSN: 1868-8071
Electronic ISSN: 1868-808X
DOI
https://doi.org/10.1007/s13042-022-01542-6

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