Abstract
Portfolio selection is a major topic for investors to allocate their assets and maximize their profit under constrained risk. For uncertain investment behavior in a vagueness environment, some researchers have devoted themselves to this field of fuzzy portfolio models for portfolio selection. Especially, Tsaur, Chiu and Huang in 2021 defined guaranteed return rates to excess investment for securities whose return rates are bigger than the guaranteed return rates in the fuzzy portfolio selection. However, an independent investor has original ideas in investment, and thus we need to consider more types of risk attitudes for an investor’s portfolio selection when the guaranteed return rates are used to excess investment. To manage the excess investment by the risk preference, a new concept of s dimensions of excess investment is introduced to perceive the risk attitude of an investor for portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model. This example shows that the higher dimensions of excess investment derive lower expected return rates with lower constrained risk than that of dimension s = 1; and we suggest lower risk preference should select a higher dimension of excess investment. Then, the dimension of excess investment s = 2 can be applied for portfolio selection when the risk preference is lower.
Subject
General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)
Reference38 articles.
1. Portfolio selection;Markowitz;J. Financ.,1952
2. Sharpe, W.F. (1970). Portfolio Theory and Capital Markets, McGraw-Hill.
3. An analytic derivation of the efficient frontier;Merton;J. Financ. Quant. Anal.,1972
4. A new efficient algorithm for a class of portfolio selection problems;Pang;Oper. Res.,1980
5. Large-scale portfolio optimization;Perold;Manage. Sci.,1984
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献