- Tytuł:
- Model of a minimal risk portfolio under hybrid uncertainty
- Autorzy:
-
Yazenin, Alexander V.
Soldatenko, Ilia S. - Powiązania:
- https://bibliotekanauki.pl/articles/2183461.pdf
- Data publikacji:
- 2021
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
minimum risk portfolio
hybrid uncertainty
possibility
necessity
strongest t-norm
weakest t-norm
fuzzy random variable - Opis:
- The article is devoted to the development and study of a model of a minimal risk portfolio under conditions of hybrid uncertainty of possibilistic-probabilistic type. In this model, the interaction of fuzzy parameters is described by both the strongest and the weakest triangular norms. The formula for variance of a portfolio is given that allows for estimating its risk. Models of acceptable portfolios are based on the principle of expected possibility or on the basis of fulfilling the restriction on the possibility/necessity and probability of the level of portfolio return that is acceptable to an investor. Equivalent deterministic analogues of the models are constructed and their solution methods are developed. Theorems describing a set of investment opportunities are proven. The obtained results are demonstrated on a model example.
- Źródło:
-
Control and Cybernetics; 2021, 50, 2; 315--333
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł