Skip to main content
Erschienen in: Soft Computing 2/2016

28.11.2014 | Methodologies and Application

Uncertain portfolio adjusting model using semiabsolute deviation

verfasst von: Zhongfeng Qin, Samarjit Kar, Haitao Zheng

Erschienen in: Soft Computing | Ausgabe 2/2016

Einloggen

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

search-config
loading …

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.

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!

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!

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!

Anhänge
Nur mit Berechtigung zugänglich
Literatur
Zurück zum Zitat Arnott RD, Wagner WH (1990) The measurement and control of trading costs. Financ Anal J 46(6):73–80 Arnott RD, Wagner WH (1990) The measurement and control of trading costs. Financ Anal J 46(6):73–80
Zurück zum Zitat Baule R (2010) Optimal portfolio selection for the small investor considering risk and transaction costs. OR Spectr 32:61–76MATHCrossRef Baule R (2010) Optimal portfolio selection for the small investor considering risk and transaction costs. OR Spectr 32:61–76MATHCrossRef
Zurück zum Zitat Bertsimas D, Pachamanova D (2008) Robust multiperiod portfolio management in the presence of transaction costs. Comput Oper Res 35:3–17MATHMathSciNetCrossRef Bertsimas D, Pachamanova D (2008) Robust multiperiod portfolio management in the presence of transaction costs. Comput Oper Res 35:3–17MATHMathSciNetCrossRef
Zurück zum Zitat Chen X, Liu Y, Ralescu DA (2013) Uncertain stock model with periodic dividends. Fuzzy Optim Decis Mak 12(1):111–123MathSciNetCrossRef Chen X, Liu Y, Ralescu DA (2013) Uncertain stock model with periodic dividends. Fuzzy Optim Decis Mak 12(1):111–123MathSciNetCrossRef
Zurück zum Zitat 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 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
Zurück zum Zitat 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 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
Zurück zum Zitat Glen JJ (2011) Mean-variance portfolio rebalancing with transaction costs and funding changes. J Oper Res Soc 62:667–676CrossRef Glen JJ (2011) Mean-variance portfolio rebalancing with transaction costs and funding changes. J Oper Res Soc 62:667–676CrossRef
Zurück zum Zitat 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, Ying H (2013) Risk index based models for portfolio adjusting problem with returns subject to experts evaluations. Econ Model 30:61–66CrossRef
Zurück zum Zitat Konno H, Yamazaki H (1991) Mean absolute portfolio optimisation model and its application to Tokyo stock market. Manag Sci 37(5):519–531CrossRef Konno H, Yamazaki H (1991) Mean absolute portfolio optimisation model and its application to Tokyo stock market. Manag Sci 37(5):519–531CrossRef
Zurück zum Zitat Li X, Qin Z (2014) Interval portfolio selection models within the framework of uncertainity theory. Econ Model 41(1):338–344CrossRef Li X, Qin Z (2014) Interval portfolio selection models within the framework of uncertainity theory. Econ Model 41(1):338–344CrossRef
Zurück zum Zitat Liu B (2007) Uncertainity theory, 2nd edn. Springer, Berlin Liu B (2007) Uncertainity theory, 2nd edn. Springer, Berlin
Zurück zum Zitat Liu B (2010) Uncertainty theory: a branch of mathematics for modeling human uncertainty, 3rd edn. Springer, BerlinCrossRef Liu B (2010) Uncertainty theory: a branch of mathematics for modeling human uncertainty, 3rd edn. Springer, BerlinCrossRef
Zurück zum Zitat Liu Y, Qin Z (2012) Mean semi-absolute deviation model for uncertain portfolio optimization problem. J Uncertain Syst 6(4):299–307 Liu Y, Qin Z (2012) Mean semi-absolute deviation model for uncertain portfolio optimization problem. J Uncertain Syst 6(4):299–307
Zurück zum Zitat Markowitz H (1993) Computation of mean-semivariance efficient sets by the critical line algorithm. Ann Oper Res 45:307–317 Markowitz H (1993) Computation of mean-semivariance efficient sets by the critical line algorithm. Ann Oper Res 45:307–317
Zurück zum Zitat Markowitz H (1952) Portfolio selection. J Financ 7:77–91 Markowitz H (1952) Portfolio selection. J Financ 7:77–91
Zurück zum Zitat Morton AJ, Pliska SR (1995) Optimal portfolio management with transaction costs. Math Financ 5(4):337–356MATHCrossRef Morton AJ, Pliska SR (1995) Optimal portfolio management with transaction costs. Math Financ 5(4):337–356MATHCrossRef
Zurück zum Zitat Ning Y, Liu J, Yan L (2013) Uncertain aggregate production planning. Soft Comput 17(4):617–624CrossRef Ning Y, Liu J, Yan L (2013) Uncertain aggregate production planning. Soft Comput 17(4):617–624CrossRef
Zurück zum Zitat Patel N, Subrahmanyam M (1982) A simple algorithm for optimal portfolio selection with fixed transaction costs. Manag Sci 28(3):303–314MATHMathSciNetCrossRef Patel N, Subrahmanyam M (1982) A simple algorithm for optimal portfolio selection with fixed transaction costs. Manag Sci 28(3):303–314MATHMathSciNetCrossRef
Zurück zum Zitat Simaan Y (1997) Estimation risk in portfolio selection: the mean variance model and the mean-absolute deviation model. Manag Sci 43:1437–1446CrossRef Simaan Y (1997) Estimation risk in portfolio selection: the mean variance model and the mean-absolute deviation model. Manag Sci 43:1437–1446CrossRef
Zurück zum Zitat Speranza MG (1993) Linear programming model for portfolio optimization. Finance 14:107–123 Speranza MG (1993) Linear programming model for portfolio optimization. Finance 14:107–123
Zurück zum Zitat 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, Kang R (2014) The \(\alpha \)-cost minimization model for capacitated facility location-allocation problem with uncertain demands. Fuzzy Optim Decis Mak 13:345–356MathSciNetCrossRef
Zurück zum Zitat 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) 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)
Zurück zum Zitat 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 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
Zurück zum Zitat Yoshimoto A (1996) The mean-variance approach to portfolio optimization subject to transaction costs. J Oper Res Soc Jpn 39(1):99–117MATHMathSciNet Yoshimoto A (1996) The mean-variance approach to portfolio optimization subject to transaction costs. J Oper Res Soc Jpn 39(1):99–117MATHMathSciNet
Zurück zum Zitat 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 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
Zurück zum Zitat Zhu Y (2010) Uncertain optimal control with application to a portfolio selection model. Cybern Syst 41(7):535–547MATHCrossRef Zhu Y (2010) Uncertain optimal control with application to a portfolio selection model. Cybern Syst 41(7):535–547MATHCrossRef
Metadaten
Titel
Uncertain portfolio adjusting model using semiabsolute deviation
verfasst von
Zhongfeng Qin
Samarjit Kar
Haitao Zheng
Publikationsdatum
28.11.2014
Verlag
Springer Berlin Heidelberg
Erschienen in
Soft Computing / Ausgabe 2/2016
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI
https://doi.org/10.1007/s00500-014-1535-y

Weitere Artikel der Ausgabe 2/2016

Soft Computing 2/2016 Zur Ausgabe