On admissible efficient portfolio selection: Models and algorithms

A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments

“…Lai et al (2002) and Giove and Funari (2006) constructed interval programming models of portfolio selection. Zhang and Nie (2004), Zhang et al (2006) and Zhang and Wang (2008) studied the admissible efficient portfolio selection problems under the assumption that the expected return and risk of asset have admissible errors to reflect the uncertainty in real investment actions, the admissible portfolio selection models are extensions of the conventional mean-variance models. Liu et al (2006) proposed a linear belief function (LBF) approach to evaluate portfolio performance.…”

The Admissible Multiperiod Mean Variance Portfolio Selection Problem with Cardinality Constraints

“…We extend the admissible average returns and covariances of singleperiod portfolio selection in Zhang and Nie (2004), Zhang et al (2006), and Zhang and Wang (2008) to multiperiod portfolio selection. Thus, the admissible average returns and covariances at period t are, respectively, defined as , , 1, , , 1, ,…”

“…By using fuzzy approaches, the knowledge of the experts and the subjective opinions of the investors can be better integrated into a portfolio selection model. Zhang and Nie (2004), Zhang et al (2006), and Zhang and Wang (2008) discussed the admissible efficient portfolio selection using the assumption that the expected return and risk of assets have admissible errors to reflect the uncertainty in real investment actions. Then, an analytic derivation of admissible efficient frontier is given, when short sales were not allowed on all risky assets.…”

A fuzzy portfolio selection method based on possibilistic mean and variance

“…Recently, a few of authors studied the fuzzy portfolio selection problems such as Watada (1997), Inuiguchi and Tanino (2000), Tanaka et al (2000), Guo et al (2002), Lai et al (2002), Zhang and Nie (2004) and Zhang et al (2006), Bilbao-Terol et al (2006), Huang (2007), Lacagnina and Pecorella (2006), etc. Watada (1997) presented portfolio selection models where he used fuzzy numbers to represent the decision maker's aspiration levels for the expected rate of return and a certain degree of risk.…”

“…Lai et al (2002) constructed interval programming models of portfolio selection. Zhang and Nie (2004); Zhang et al (2006) studied the admissible efficient portfolio selection problems under the assumption that the expected return and risk of asset have admissible errors to reflect the uncertainty in real investment actions and gave an analytic derivation of admissible efficient frontier when short sales are not allowed on all risky assets. Huang (2007) extended the risk definition of variance and the risk definition of chance of a bad outcome as two types of risk for portfolio selection with random fuzzy returns.…”