Temat: minimum risk portfolio - 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:: 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

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