Portfolio selection under different attitudes in fuzzy environment
文献类型：期刊论文
| 作者 | Zhou, Xiaoyang1,2; Wang, Jue2 ; Yang, Xiangping1; Lev, Benjamin3; Tu, Yan4; Wang, Shouyang2
|
| 刊名 | INFORMATION SCIENCES
 |
| 出版日期 | 2018-09-01 |
| 卷号 | 462页码:278-289 |
| 关键词 | Portfolio selection Conservative-neutral-aggressive attitude Fuzzy variable Value at risk, epsilon-constraint method |
| ISSN号 | 0020-0255 |
| DOI | 10.1016/j.ins.2018.06.013 |
| 英文摘要 | This paper studies stock portfolio selection problem based on varying conservative-neutral aggressive attitudes. The return rates of stocks are characterized by fuzzy variables. The Pareto-optimal solutions are obtained by maximizing the return and minimizing the risk subject to constraints of transaction cost and value at risk. Since investors with different attitudes may have different understanding of the likelihoods of occurrence, measure Me with the ability of reflecting varying conservative-neutral-aggressive attitudes is adopted. Based on Me, the expected value of fuzzy return and the lower absolute deviation are used to quantify the return and risk levels of a portfolio respectively. Then the c-constraint method is employed to obtain the efficient frontier. Finally, an empirical study is carried out using the data of 10 stocks in Chinese stock market. Sensitivity comparisons are conducted to demonstrate the effectiveness of the proposed model. The results show that different frontiers can be obtained under different attitudes, confidence levels and values at risk. (C) 2018 Elsevier Inc. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[71401093] ; National Natural Science Foundation of China[71771208] ; China Scholarship Council[201606875006] ; Soft Science Research Project of Shaanxi Province[2016KRM089] ; Research Center for Systems Science & Enterprise Development[Xq16B01] ; Fundamental Research Funds for the Central Universities[WUT: 2016VI002] |
| WOS研究方向 | Computer Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000443666300016 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/31161]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wang, Jue; Tu, Yan |
| 作者单位 | 1.Xidian Univ, Sch Econ & Management, Xian 710126, Shaanxi, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Drexel Univ, LeBow Coll Business, Philadelphia, PA 19104 USA 4.Wuhan Univ Technol, Sch Management, Wuhan 430070, Hubei, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhou, Xiaoyang,Wang, Jue,Yang, Xiangping,et al. Portfolio selection under different attitudes in fuzzy environment[J]. INFORMATION SCIENCES,2018,462:278-289. |
| APA | Zhou, Xiaoyang,Wang, Jue,Yang, Xiangping,Lev, Benjamin,Tu, Yan,&Wang, Shouyang.(2018).Portfolio selection under different attitudes in fuzzy environment.INFORMATION SCIENCES,462,278-289. |
| MLA | Zhou, Xiaoyang,et al."Portfolio selection under different attitudes in fuzzy environment".INFORMATION SCIENCES 462(2018):278-289. |
入库方式： OAI收割
来源：数学与系统科学研究院
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