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portfolio selection: a fuzzy-ANP approach

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Financial Innovation 2020年第1期6卷 313-346页

作者： Masoud Rahiminezhad Galankashi Farimah Mokhatab Rafiei Maryam Ghezelbash Department of Industrial Engineering Tarbiat Modares UniversityTehranIran Department of Industrial Mechanical and Aerospace EngineeringBuein Zahra Technical UniversityBuein ZahraQazvinIran

This study developed specific criteria and a fuzzy analytic network process(FANP)to assess and select portfolios on the Tehran Stock Exchange(TSE).Although the portfolio selection problem has been widely investigated,most studies have focused on income and risk as the main decision-making ***,there are many other important criteria that have been *** fill this gap,first,a literature review was conducted to determine the main criteria for portfolio selection,and a Likert-type questionnaire was then used to finalize a list of ***,the finalized criteria were applied in an FANP to rank 10 different TSE *** results indicated that profitability,growth,market,and risk are the most important criteria for portfolio ***,portfolios 6,7,2,4,8,1,5,3,9,and 10(A6,A7,A2,A4,A8,A1,A5,A3,A9,and A10)were found to be the best *** and directions for future research are discussed.

关键词： portfolio selection Financial engineering Fuzzy analytic network process(FANP) Multiple-criteria decision-making(MCDM)

MULTI-PERIOD MEAN-VARIANCE portfolio selection WITH MARKOV REGIME SWITCHING AND UNCERTAIN TIME-HORIZON

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Journal of Systems Science & Complexity 2011年第1期24卷 140-155页

作者： Huiling WU Zhongfei LI School of Mathematics and Computational Science Sun Yat-sen University Guangzhou 510275 China Corresponding author. Lingnan (University) College Sun Yat-sen University Guangzhou 510275 China

This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to follow a discrete-time Markov chain. The authors derive the optimal strategy and the efficient frontier of the model in closed-form. Some results in the existing literature are obtained as special cases of our results.

关键词： Dynamic programming Markov regime switching mean-variance portfolio selection uncertain time-horizon.

Fuzzy Views on Black-Litterman portfolio selection Model

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Journal of Systems Science & Complexity 2018年第4期31卷 975-987页

作者： FANG Yong BO Lin ZHAO Daping WANG Shouyang Academy of Mathematics and Systems Sciences Chinese Academy of Sciences Beijing 100190 China School of Finance Capital University of Economics and Business Beijing 100070 China

In this paper, views of investor are described in fuzzy sets, and two fuzzy Black-Litterman models are constructed with fuzzy views and fuzzy random views respectively. In the models, expected returns and uncertainty matrix of views are redefined and the views are formulated by fuzzy approaches suitably. Then the models are tested with data from Chinese financial markets. Empirical results show that the fuzzy random views model performs the best, and both the fuzzy models are better than the traditional ones, demonstrating that the fuzzy approaches can contain more information in the views and measure the uncertainty more correctly.

关键词： Black-Litterman optimization fuzzy covariance fuzzy number portfolio selection

A Nonlinear Interval portfolio selection Model and Its Application in Banks

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Journal of Systems Science & Complexity 2018年第3期31卷 696-733页

作者： YAN Dawen HU Yaxing LAI Kin Keung Faculty of Management and Economics Dalian University of Technology Dalian 116024 China School of Mathematical Science Dalian University of Technology Dalian 116024 China Bank of Dalian Dalian 116001 China School of Mathematical Science Dalian University of Technology Dalian 116024 China International Business School Shaanxi Normal University Xi'an 710062 China College of Management Xidian University Xi'an 710126 China

In classical Markowitz＇s Mean-Variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameters often correspond to quantities that fall within a range, or can be known ambiguously at the time when investment decision must be made. In such situations, investors determine returns on investment and risks etc. and make portfolio decisions based on experience and economic wisdom. This paper tries to use the concept of interval numbers in the fuzzy set theory to extend the classical mean-variance portfolio selection model to a mean-downside semi-variance model with consideration of liquidity requirements of a bank. The semi-variance constraint is employed to control the downside risk, filling in the existing interval portfolio optimization model based on the linear semi-absolute deviation to depict the downside risk. Simulation results show that the model behaves robustly for risky assets with highest or lowest mean historical rate of return and the optimal investment proportions have good stability. This suggests that for these kinds of assets the model can reduce the risk of high deviation caused by the deviation in the decision maker＇s experience and economic wisdom.

关键词： Downside-risk management interval return portfolio selection semi-variance simulation.

A BRANCH-AND-CUT APPROACH TO portfolio selection WITH MARGINAL RISK CONTROL IN A LINEAR CONIC PROGRAMMING FRAMEWORK

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Journal of Systems Science and Systems Engineering 2013年第4期22卷 385-400页

作者： Zhibin DENG Yanqin BAI Shu-Cherng FANG Ye TIAN Wenxun XING School of Management University of Chinese Academy of Sciences Industrial and Systems Engineering Department North Carolina State University Department of Mathematics Shanghai University School of Business Administration Southwestern University of Finance and Economics Department of Mathematical Sciences Tsinghua University

Marginal risk represents the risk contribution of an individual asset to the risk of the entire portfolio In this paper, we investigate the portfolio selection problem with direct marginal risk control in a linear conic programming framework. ＇The optimization model involved is a nonconvex quadratically constrained quadratic programming （QCQP） problem. We first transform the QCQP problem into a linear conic programming problem, and then approximate the problem by semidefinite programming （SDP） relaxation problems over some subrectangles. In order to improve the lower bounds obtained from the SDP relaxation problems, linear and quadratic polar cuts are introduced for designing a branch-and-cut algorithm, that may yield an e -optimal global solution （with respect to feasibility and optimality） in a finite number of iterations. By exploring the special structure of the SDP relaxation problems, an adaptive branch-and-cut rule is employed to speed up the computation. The proposed algorithm is tested and compared with a known method in the literature for portfolio selection problems with hundreds of assets and tens of marginal risk control constraints.

关键词： portfolio selection linear conic programming branch-and-cut

Combinatorial auction algorithm for project portfolio selection and scheduling to maximize the net present value

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Journal of Zhejiang University-Science C(Computers and Electronics) 2010年第7期11卷 562-574页

作者： Yong-yi SHOU Yi-lun HUANG Department of Management Science & Engineering Zhejiang University Hangzhou 310058 China Department of Instrument Science & Engineering Zhejiang University Hangzhou 310027 China

Scheduling projects at the activity level increases the complexity of decision making of project portfolio selection but also expands the search space to include better project portfolios. An integer programming model is formulated for the project portfolio selection and scheduling problem. An iterative multi-unit combinatorial auction algorithm is proposed to select and schedule project portfolios through a distributed bidding mechanism. Two price update schemes are designed to adopt either a standard or an adaptive Walrasian tatonnement process. Computational tests show that the proposed auction algorithm with the adaptive price update scheme selects and schedules project portfolios effectively and maximizes the total net present value. The price profile generated by the algorithm also provides managerial insights for project managers and helps to manage the scarce resources efficiently.

关键词： Project management portfolio selection Combinatorial auction Project scheduling

Semi entropy of uncertain random variables and its application to portfolio selection

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Applied Mathematics(A Journal of Chinese Universities) 2022年第3期37卷 383-395页

作者： GAO Jin-wu Hamed Ahmadzade Mehran Farahikia School of Economics Ocean University of ChinaQingdao 266100China Department of Mathematical Sciences University of Sistan and BaluchestanZahedanIran Department of Statistics Payame Noor University19395-4697 TehranIran Ayandeh bank No.1Ahmad Ghasir(Bokharest)StArgentina SqTehranIran

Semi entropy is a measure to characterize the indeterminacy of the uncertain random variable considering the values of the uncertain random variable which are lower than the *** important roles of semi entropy in finance,this paper presents the concept of semi entropy for uncertain random *** order to compute semi entropy for uncertain random variables,Monte-Carlo approach is *** an application of semi entropy,portfolio selection problems are optimized based on mean-semi entropy mode.

关键词： chance theory uncertain random variable semi entropy portfolio selection Monte-Carlo simulation

Optimal stopping investment in a logarithmic utility-based portfolio selection problem

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Financial Innovation 2017年第1期3卷 433-442页

作者： Xun Li Xianping Wu Wenxin Zhou Department of Applied Mathematics The Hong Kong Polytechnic UniversityHong KongChina School of Mathematical Sciences South China Normal UniversityGuangzhouChina

Background:In this paper,we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible,according to a Logarithmic utility-maximization objective involving the portfolio in the drift and volatility *** problem is formulated as an optimal stopping problem,although it is non-standard in the sense that the maximum wealth involved is not adapted to the information generated over ***:By delicate stochastic analysis,the problem is converted to a standard optimal stopping one involving adapted ***:Numerical examples shed light on the efficiency of the theoretical ***:Our investment problem,which includes the portfolio in the drift and volatility terms of the dynamic systems,makes the problem including multi-dimensional financial assets more realistic and meaningful.

关键词： Optimal stopping Path-dependent Stochastic differential equation(SDE) Time-change portfolio selection

Optimal portfolio selection Strategies under Some Constraints

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Wuhan University Journal of Natural Sciences 2009年第4期14卷 281-286页

作者： LUO Kui,WANG Guangming,HU Yijun School of Mathematics and Statistics,Wuhan University,Wuhan 430072,Hubei,China School of Mathematics and Statistics Wuhan University Wuhan China

A portfolio selection problem for any utility function is introduced, where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below a benchmark wealth process. The problem is completely solved using a decomposition approach. First, the portfolio selection problem is formulated, and its feasibility is characterized. Then, the problem is decomposed to two steps to solve. After a system of equations for a Lagrange multiplier is solved, the portfolio selection problem is derived as the replicating portfolios of contingent claims. Finally, some simulations are demonstrated.

关键词： portfolio selection Lagrange multiplier stochastic differential equation Monte-Carlo simulation