A possibilistic mean variance portfolio selection model

被引：0
|
作者：
Chen, Guohua [1 ]
Chen, Shou [1 ]
Fang, Yong [1 ]
Wang, Shouyang [1 ]
机构：
[1] Hunan Inst Humanities Sci & Technol, Dept Math, Loudi 417000, Peoples R China
来源：
PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT | 2008年
关键词：
possibility theory; portfolio selection; possibilistic mean; possibilistic variance; cutting plane algorithm;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance portfolio selection model was proposed (FMV). The possibilistic programming problem can be transformed into a linear optimal problem with an additional quadratic constraint by possibilistic theory. For such problems there are no special standard algorithms. We propose a cutting plane algorithm to solve (FMVC). The nonlinear programming problem can be solved by sequence linear programming problem. A numerical example is given to illustrate the behavior of the proposed model and algorithm.
引用
收藏
页码：365 / 372
页数：8
相关论文
共 50 条
  • [21] Mean–Variance Portfolio Selection Under Volterra Heston Model
    Bingyan Han
    Hoi Ying Wong
    Applied Mathematics & Optimization, 2021, 84 : 683 - 710
  • [22] Credibility mean-variance-skewness portfolio selection model
    Chen, Guohua
    Liao, Xiaolian
    2010 2ND INTERNATIONAL WORKSHOP ON DATABASE TECHNOLOGY AND APPLICATIONS PROCEEDINGS (DBTA), 2010,
  • [23] Estimation risk in portfolio selection: The mean variance model versus the mean absolute deviation model
    Simaan, Y
    MANAGEMENT SCIENCE, 1997, 43 (10) : 1437 - 1446
  • [24] A Comparison of the Mean-Variance-Leverage Optimization Model and the Markowitz General Mean-Variance Portfolio Selection Model
    Jacobs, Bruce I.
    Levy, Kenneth N.
    JOURNAL OF PORTFOLIO MANAGEMENT, 2013, 40 (01): : 1 - +
  • [25] Mean-Variance Portfolio Selection Under Volterra Heston Model
    Han, Bingyan
    Wong, Hoi Ying
    APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 84 (01): : 683 - 710
  • [26] Mean-variance-skewness model for portfolio selection with fuzzy returns
    Li, Xiang
    Qin, Zhongfeng
    Kar, Samarjit
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 202 (01) : 239 - 247
  • [27] Portfolio selection via a dynamic moving mean-variance model
    Borovicka, Adam
    39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021), 2021, : 42 - 47
  • [28] Mean-variance-skewness model for portfolio selection with transaction costs
    不详
    PORTFOLIO SELECTION AND ASSET PRICING, 2002, 514 : 129 - 144
  • [29] Beyond Mean-Variance Markowitz Portfolio Selection: A Comparison of Mean-Variance-Skewness-Kurtosis Model and Robust Mean-Variance Model
    Gubu, La
    Rashif, Muhamad
    ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2024, 58 (01): : 298 - 313
  • [30] Mean-variance-skewness model for portfolio selection with transaction costs
    Liu, S
    Wang, SY
    Qiu, W
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2003, 34 (04) : 255 - 262
12345