scholarly journals On Fuzzy Portfolio Selection Problems: A Parametric Representation Approach

Complexity ◽  
2017 ◽  
Vol 2017 ◽  
pp. 1-12 ◽  
Author(s):  
Omid Solaymani Fard ◽  
Mohadeseh Ramezanzadeh
Keyword(s):  
Portfolio Selection ◽  
Multiobjective Programming ◽  
Fuzzy Numbers ◽  
Optimization Problems ◽  
Parametric Representation ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Fuzzy Portfolio Selection ◽  
Multiobjective Programming Problem ◽  
Special Case

Fuzzy portfolio selection problem is a major issue in the financial field and a special case of constrained fuzzy-valued optimization problems (CFOPs). In this respect, the present paper aims to investigate the CFOP with regard to the features of the parametric representation of fuzzy numbers named as convex constraint function (CCF) which is proposed by Chalco-Cano et al. in 2014. Furthermore, relying on this parametric representation, some proper conditions are provided for the existence of solutions to a CFOP. To this end, by the increasing representation of CCF, the main problem is converted to a parametric multiobjective programming problem and some solution concepts from a similar framework in the multiobjective programming are proposed for the CFOP. Eventually to illustrate the proposed results, the fuzzy portfolio selection problem is discussed.

scholarly journals Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise

2014 ◽  
Vol 2014 ◽  
pp. 1-7 ◽  
Author(s):  
Takashi Hasuike ◽  
Hideki Katagiri
Keyword(s):  
Portfolio Selection ◽  
Random Distribution ◽  
Multiobjective Programming ◽  
Exact Algorithm ◽  
Selection Problem ◽  
Market Data ◽  
Mean Values ◽  
Portfolio Selection Problem ◽  
Multiobjective Programming Problem ◽  
Random Distributions

This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists’ oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

scholarly journals Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs

2015 ◽  
Vol 2015 ◽  
pp. 1-12 ◽  
Author(s):  
Yanju Chen ◽  
Ye Wang
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Optimal Solution ◽  
Single Stage ◽  
Selection Problem ◽  
Stage Model ◽  
Two Stage ◽  
Portfolio Selection Problem ◽  
Fuzzy Portfolio Selection ◽  
Proposed Model

This paper studies a two-period portfolio selection problem. The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions. The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth. Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the second-stage programming problem is derived. As a result, the proposed two-stage model is equivalent to a single-stage model, and the analytical optimal solution of the two-stage model is obtained, which helps us to discuss the properties of the optimal solution. Finally, some numerical experiments are performed to demonstrate the new modeling idea and the effectiveness. The computational results provided by the proposed model show that the more risk-averse investor will invest more wealth in the risk-free security. They also show that the optimal invested amount in risky security increases as the risk-free return decreases and the optimal utility increases as the risk-free return increases, whereas the optimal utility increases as the transaction costs decrease. In most instances the utilities provided by the proposed two-stage model are larger than those provided by the single-stage model.

scholarly journals Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem

2013 ◽  
Vol 2013 ◽  
pp. 1-13 ◽  
Author(s):  
Huiling Wu
Keyword(s):  
Nash Equilibrium ◽  
Portfolio Selection ◽  
Optimization Problems ◽  
Selection Problem ◽  
Equilibrium Strategy ◽  
Nash Equilibrium Strategy ◽  
Portfolio Selection Problem ◽  
Nash Equilibrium Strategies ◽  
Mean Variance Portfolio ◽  
Mean Variance

It remained prevalent in the past years to obtain the precommitment strategies for Markowitz's mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for a multiperiod mean-variance portfolio selection problem. Under the assumption that the risk aversion is, respectively, a constant and a function of current wealth level, we obtain the explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function. Many interesting properties of the time-consistent results are identified through numerical sensitivity analysis and by comparing them with the classical pre-commitment solutions.

Exact and heuristic procedures for solving the fuzzy portfolio selection problem

2011 ◽  
Vol 11 (1) ◽  
pp. 29-46 ◽  
Author(s):  
J. M. Cadenas ◽  
J. V. Carrillo ◽  
M. C. Garrido ◽  
C. Ivorra ◽  
V. Liern
Keyword(s):  
Portfolio Selection ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Fuzzy Portfolio Selection ◽  
Heuristic Procedures

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
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