Portfolio optimization using a credibility mean-absolute semi-deviation model

Vercher, Enriqueta; Bermúdez, José D.

doi:10.1016/j.eswa.2015.05.020

Cited by 70 publications

(33 citation statements)

References 35 publications

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“…Thus, credibility value is consistent with investors' judgement and the confusion will disappear. Since then, different researchers have used credibility distributions to approximate the uncertainty on returns (Barak, Abessi, & Modarres, 2013;Huang, 2006;Jalota, Thakur, & Mittal, 2017b;Vercher & Bermúdez, 2015). For the above reasons, this paper extends the literature on portfolio selection model by assuming that the return on each asset is an L-R power fuzzy variable whose moments are assessed employing their credibility distributions.…”

Section: Introductionmentioning

confidence: 98%

A Credibilistic Mean-Semivariance-Per Portfolio Selection Model for Latin America

García

González-Bueno

Oliver

et al. 2019

Journal of Business Economics and Management

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Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the trade-off between return and risk. Nevertheless, this approach has been criticized for unrealistic assumptions and several changes have been proposed to incorporate investors’ constraints and more realistic risk measures. In this line of research, our proposal extends the mean-semivariance portfolio selection model to a multiobjective credibilistic model that besides risk and return, also considers the price-to-earnings ratio to measure portfolio performance. Uncertain future returns and PER ratio of each asset are approximated using L-R power fuzzy numbers. Furthermore, we consider budget, bound and cardinality constraints. To solve the constrained portfolio optimization problem, we use the algorithm NSGA-II. We assess the proposed approach generating a portfolio with shares included in the Latin American Integrated Market. Results show that this new approach is a good alternative to solve the portfolio selection problem when multiple objectives are considered.

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Section: Introductionmentioning

confidence: 98%

A Credibilistic Mean-Semivariance-Per Portfolio Selection Model for Latin America

García

González-Bueno

Oliver

et al. 2019

Journal of Business Economics and Management

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show abstract

“…In this algorithm we created Pool mating of the parent population with the Choose the best solution random, Then we compared this problem with famous algorithm such as NRGA, -SPEAⅡ . The required parameters for the proposed algorithm and other algorithms are visible in the table (1)(2)(3) and The results of the comparisons provided in Table ( …”

Section: Simulationmentioning

confidence: 99%

“…To solve the problem of portfolio optimization, various tools and algorithms proposed and can use and also includes classical optimization algorithms [1][2][3] as well as the smart optimization algorithms (meta-heuristic). Stock portfolio problem in recent decades has been favorable issue for many researchers in industrial engineering [4][5], computer [6] financial [7][8][9], operations research and almost solved as a classic problem with met heuristic algorithms such as genetic [10][11][12], particle swarm [13,14], colonies of bees [15], ant colony [16,17] and Memetic [18].…”

Section: Related Workmentioning

confidence: 99%

Providing an Evolutionary Approach for Multi-objective Portfolio Optimization Problem by Using Evolutionary Algorithm Multi-objective NSGAⅡ

Khajouri¹,

Khajouri²,

Saraei³

2017

bfup

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An important decision which companies should make is to create the optimal portfolio. Therefore, researchers have become interested in the selection of a portfolio with a high rate of return and controlled risk. The aim of this study is to use multi-objective meta heuristic algorithms for portfolio selection. NSGA-II, NRGA, and SPEA2 were used to form the proposed portfolio. Then VaR (value at risk) was regarded as a criterion for measuring risk. For this purpose, the information was collected from 20 companies operating in the stock market. They were selected from www.yahoo.com. The results indicated the efficiency and accuracy of the proposed algorithm in comparison with other algorithms.

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“…Li et al [27] developed a fuzzy portfolio selection model with background risk. Vercher and Bermúdez [28] introduced a cardinality constrained multiobjective optimization problem for generating efficient portfolios within a fuzzy mean absolute deviation framework. Considering transaction cost, Chen and Wang [29] proposed a two-stage fuzzy model for portfolio selection problem.…”

Section: Introductionmentioning

confidence: 99%

Modeling Portfolio Optimization Problem by Probability-Credibility Equilibrium Risk Criterion

Wang

Chen

Liu

2016

Mathematical Problems in Engineering

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This paper studies the portfolio selection problem in hybrid uncertain decision systems. Firstly the return rates are characterized by random fuzzy variables. The objective is to maximize the total expected return rate. For a random fuzzy variable, this paper defines a new equilibrium risk value (ERV) with credibility level beta and probability level alpha. As a result, our portfolio problem is built as a new random fuzzy expected value (EV) model subject to ERV constraint, which is referred to as EV-ERV model. Under mild assumptions, the proposed EV-ERV model is a convex programming problem. Furthermore, when the possibility distributions are triangular, trapezoidal, and normal, the EV-ERV model can be transformed into its equivalent deterministic convex programming models, which can be solved by general purpose optimization software. To demonstrate the effectiveness of the proposed equilibrium optimization method, some numerical experiments are conducted. The computational results and comparison study demonstrate that the developed equilibrium optimization method is effective to model portfolio selection optimization problem with twofold uncertain return rates.

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Portfolio optimization using a credibility mean-absolute semi-deviation model

Cited by 70 publications

References 35 publications

A Credibilistic Mean-Semivariance-Per Portfolio Selection Model for Latin America

A Credibilistic Mean-Semivariance-Per Portfolio Selection Model for Latin America

Providing an Evolutionary Approach for Multi-objective Portfolio Optimization Problem by Using Evolutionary Algorithm Multi-objective NSGAⅡ

Modeling Portfolio Optimization Problem by Probability-Credibility Equilibrium Risk Criterion

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