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Portfolio selection under uncertainty by the ordered modular average operator

文献类型：期刊论文

作者Li, Hong-Quan1,2; Yi, Zhi-Hong1,2,3; Fang, Yong4
刊名FUZZY OPTIMIZATION AND DECISION MAKING
出版日期2019-03-01
卷号18期号:1页码:1-14
关键词Aggregation operator Portfolio selection The mean-variance model The ordered modular averages The ordered weighted averages
ISSN号1568-4539
DOI10.1007/s10700-018-9295-2
英文摘要In a world under uncertainty, the beliefs for the information underlie the behavioral style of portfolio decisions in portfolio management. In this work, we use the copula-based ordered modular averages (OMAs) in the calculation of the mean and variance of the assets' returns for portfolio selection to capture the beliefs of the investors and the departure of rationality in evaluation. Specially, the outcomes and the probability information in terms of the decumulative probabilities are jointly transformed using appropriate copulas while satisfying the stochastic dominance in the probability-sensitivity evaluation. In addition, the diversity of the underlying copulas facilitates the challenge of the diversity of investors with different beliefs for expectations. Consequently, the mean-variance model in this work using OMA with the decumulative probabilities can encode not only the decision makers' assessment of relative likelihoods but also the confidence attached to such assessment in the evaluation.
资助项目National Natural Science Foundation of China[71473081] ; National Natural Science Foundation of China[71871092] ; Hunan Provincial Innovation Foundation For Postgraduate Grant[CX2017B171]
WOS研究方向Computer Science ; Operations Research & Management Science
语种英语
WOS记录号WOS:000459170400001
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/32611]  
专题系统科学研究所
通讯作者Yi, Zhi-Hong
作者单位1.Hunan Normal Univ, Coll Business, Changsha, Hunan, Peoples R China
2.Hunan Normal Univ, Coll Math & Stat, Changsha, Hunan, Peoples R China
3.Jiangxi Univ Finance & Econ, Coll Modern Econ & Management, Nanchang, Jiangxi, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式
GB/T 7714		 Li, Hong-Quan,Yi, Zhi-Hong,Fang, Yong. Portfolio selection under uncertainty by the ordered modular average operator[J]. FUZZY OPTIMIZATION AND DECISION MAKING,2019,18(1):1-14.
APA Li, Hong-Quan,Yi, Zhi-Hong,&Fang, Yong.(2019).Portfolio selection under uncertainty by the ordered modular average operator.FUZZY OPTIMIZATION AND DECISION MAKING,18(1),1-14.
MLA Li, Hong-Quan,et al."Portfolio selection under uncertainty by the ordered modular average operator".FUZZY OPTIMIZATION AND DECISION MAKING 18.1(2019):1-14.

入库方式： OAI收割

来源：数学与系统科学研究院

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