Portfolio selection under uncertainty by the ordered modular average operator

doi:10.1007/s10700-018-9295-2

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	Portfolio selection under uncertainty by the ordered modular average operator
	Li, Hong-Quan 1,2; Yi, Zhi-Hong 1,2,3; Fang, Yong4
	2019-03-01
发表期刊	FUZZY OPTIMIZATION AND DECISION MAKING
ISSN	1568-4539
卷号	18 期号:1 页码:1-14
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.
关键词	Aggregation operator Portfolio selection The mean-variance model The ordered modular averages The ordered weighted averages
DOI	10.1007/s10700-018-9295-2
语种	英语
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
WOS类目	Computer Science, Artificial Intelligence ; Operations Research & Management Science
WOS记录号	WOS:000459170400001
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/32612
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.