Portfolio selection under different attitudes in fuzzy environment

doi:10.1016/j.ins.2018.06.013

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	Portfolio selection under different attitudes in fuzzy environment
	Zhou, Xiaoyang 1,2; Wang, Jue2 ; Yang, Xiangping 1; Lev, Benjamin 3; Tu, Yan 4; Wang, Shouyang2
	2018-09-01
发表期刊	INFORMATION SCIENCES
ISSN	0020-0255
卷号	462 页码:278-289
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.
关键词	Portfolio selection Conservative-neutral-aggressive attitude Fuzzy variable Value at risk, epsilon-constraint method
DOI	10.1016/j.ins.2018.06.013
语种	英语
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
WOS类目	Computer Science, Information Systems
WOS记录号	WOS:000443666300016
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/31162
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.