Fuzzy portfolio optimization under downside risk measures

Vercher, Enriqueta; Bermúdez, José D.; Segura, Javier

doi:10.1016/j.fss.2006.10.026

Cited by 198 publications

(78 citation statements)

References 30 publications

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“…We collect historical data of them from April 2006 to March 2015 and set every three months as a period to handle the historical data. By using the simple estimation method in Vercher et al (2007) to handle their historical data, the triangular possibility distributions of the return rates of assets at each period can be obtained as shown in Appendix A. According to Eq.…”

Section: Numerical Examplementioning

confidence: 99%

“…In this situation, a better way is to estimate security returns by experienced experts such as fund managers, which implies that security returns are fuzzy variables. Several researchers (Wang and Zhu, 2002;Terol et al, 2006;Fang et al, 2006;Vercher et al, 2007;, Zhang et al, 2007, Zhang et al, , 2009Huang, 2008;Li et al, 2010;Liu and Liu, 2002;Huang, 2008;Li et al, 2010; have utilized fuzzy set theory to investigate portfolio selection problem by regarding security returns as fuzzy variables instead of random variables. Different from random variables and fuzzy variables, Liu (2007) proposed the concept of uncertain variable and established uncertainty theory to study the behavior of uncertain phenomena.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Multiperiod Mean Absolute Deviation Uncertain Portfolio Selection

Zhang¹

2016

Industrial Engineering and Management Systems

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Multiperiod portfolio selection problem attracts more and more attentions because it is in accordance with the practical investment decision-making problem. However, the existing literature on this field is almost undertaken by regarding security returns as random variables in the framework of probability theory. Different from these works, we assume that security returns are uncertain variables which may be given by the experts, and take absolute deviation as a risk measure in the framework of uncertainty theory. In this paper, a new multiperiod mean absolute deviation uncertain portfolio selection models is presented by taking transaction costs, borrowing constraints and threshold constraints into account, which an optimal investment policy can be generated to help investors not only achieve an optimal return, but also have a good risk control. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on uncertain theories, the model is converted to a dynamic optimization problem. Because of the transaction costs, the model is a dynamic optimization problem with path dependence. To solve the new model in general cases, the forward dynamic programming method is presented. In addition, a numerical example is also presented to illustrate the modeling idea and the effectiveness of the designed algorithm.

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Section: Numerical Examplementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Multiperiod Mean Absolute Deviation Uncertain Portfolio Selection

Zhang¹

2016

Industrial Engineering and Management Systems

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“…Trapezoidal fuzzy number presented in Figure 1 the form of the membership functions fuzzy numbers to describe the yield of each action is somewhat arbitrary. Following the work of Vercher (2007) for the core [a, b], we use 40th, i.e. 60th percentile of the distribution of the yield obtained from historical data, between 40th and 5th, i.e.…”

Section: The Model Settingmentioning

confidence: 99%

10.5937/industrija42-5731 = Fuzzy models in measuring competitiveness of agroindustry

Adžić¹,

Stojić²

2014

Industrija

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“…By incurring fuzzy approaches quantitative analysis, qualitative analysis, experts' knowledge and investors' subjective opinions can be better integrated into a portfolio selection model. Authors like Konno and Suzuki [25], Leon et al [26], Vercher [27], Bhattacharyya et al [12] and others use fuzzy numbers to embody uncertain returns of the securities and they define the portfolio selection as a mathematical programming problem in order to select the best alternative. In possibilistic portfolio selection models, two types of approaches are noticed.…”

Section: Introductionmentioning

confidence: 99%