Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates

Abstract

Based on the concept of high returns as the preference to low returns, this study discusses the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates in a fuzzy environment, in which the return rates for selected securities are characterized by fuzzy variables. We suppose some securities are for excess investment because their return rates are higher than the guaranteed return rates, and the other securities whose return rates are lower than the guaranteed return rates are considered for shortage investment. Then, we solve the proposed expected fuzzy returns by the concept of possibility theory, where fuzzy returns are quantified by possibilistic mean and risks are measured by possibilistic variance, and then we use linear programming model to maximize the expected value of a portfolio’s return under investment risk constraints. Finally, we illustrate two numerical examples to show that the expected return rate under a lower guaranteed return rate is better than a higher guaranteed return rates in different levels of investment risks. In shortage investments, the investment proportion for the selected securities are almost zero under higher investment risks, whereas the portfolio is constructed from those securities in excess investments.

Algılanan Kalitenin Satın Alma Niyetine Etkisinin Demografik Özellikler Ve Marka Tercihine Göre İncelenmesi

“…Tüketiciler, satın alma kararı verirken, belirsizlik ve riski en aza indirmek için birden fazla bilgi kaynağına ihtiyaç duyarlar. Bu nedenle de diğer tüketicilerin, tavsiye, değerlendirme ve memnuniyetlerini dikkate alırlar [18]. Ağızdan ağıza iletişim yoluyla tüketici aile ve arkadaş çevresinden güvenilir bilgiler elde edebilmekte ve bu bilgiler tüketiciyi ilgilendiği ürün veya marka ile ilgili uzun süren araştırmalardan kurtarmaktadır [50].…”

An Elliptic Intuitionistic Fuzzy Portfolio Selection Problem based on Knapsack Problem

“…According to [21], where the mean-variance model was used for portfolio selection and the risk the behavior of an investor in a different dimension distance for shortage investment and the excess investment was still not taken into account, the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates for profitable returns is suggested. The dimension of excess investment has been taken into consideration as the fuzzy portfolio based on guaranteed return rates has been developed for investors with various risk preferences [10].…”