- 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