Temat: portfolio selection - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed
Autorzy:: Rogonov, Stepan A.
Soldatenko, Ilia S.
Yazenin, Alexander V.
Powiązania:: https://bibliotekanauki.pl/articles/31342749.pdf
Data publikacji:: 2022
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: portfolio selection model
hybrid uncertainty
possibility
necessity
quasi-efficient solutions
minimum risk portfolio frontier
fuzzy random variable
Opis:: The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short sales. Investor’s acceptable level of expected return is defined in crisp and fuzzy forms. Obtained results are illustrated on a model example. The dependence of the quasi-efficient frontier on the value of α-level is investigated.
Źródło:: Control and Cybernetics; 2022, 51, 4; 445-466
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: A generalization of the Zionts-Wallenius multiple criteria decision making algorithm
Autorzy:: Kaliszewski, I.
Zionts, S.
Powiązania:: https://bibliotekanauki.pl/articles/970490.pdf
Data publikacji:: 2004
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: wielokryterialne podejmowanie decyzji
zagadnienie wypukłe
zamiana
selekcja portfela
multiple criteria decision making
convex problems
trade-off
portfolio selection
Opis:: In multicriteria problem solving, much can be learned by observing the decision-making process. Some, if not many, of the theoretical constructs used in some academically-generated models are simply not necessary. Taking this into account, we generalize the Zionts-Wallenius Multiple Criteria Decision Making Algorithm. We generalize the approach so that it can solve general convex problems. We do this by drawing from other methods, and by incorporating what we have learned in our work. To deal with the class of convex problems we face, we broaden the concept of tradeoff, and use global tradeoffs. Theory is developed, and then a method incorporating the theory is presented. A small example is included. We discuss how our development enriches decision-making tools currently available. We discuss applications in finance and technology.
Źródło:: Control and Cybernetics; 2004, 33, 3; 477-500
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Informacja