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Portfolio selection under uncertainty by the ordered modular average operator
Li, Hong-Quan1,2; Yi, Zhi-Hong1,2,3; Fang, Yong4
2019-03-01
Source PublicationFUZZY OPTIMIZATION AND DECISION MAKING
ISSN1568-4539
Volume18Issue:1Pages:1-14
AbstractIn 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.
KeywordAggregation operator Portfolio selection The mean-variance model The ordered modular averages The ordered weighted averages
DOI10.1007/s10700-018-9295-2
Language英语
Funding ProjectNational Natural Science Foundation of China[71473081] ; National Natural Science Foundation of China[71871092] ; Hunan Provincial Innovation Foundation For Postgraduate Grant[CX2017B171]
WOS Research AreaComputer Science ; Operations Research & Management Science
WOS SubjectComputer Science, Artificial Intelligence ; Operations Research & Management Science
WOS IDWOS:000459170400001
PublisherSPRINGER
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/32612
Collection系统科学研究所
Affiliation1.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
Recommended Citation
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.
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