Portfolio selection under different attitudes in fuzzy environment
Abstract
This paper studies stock portfolio selection problem based on varying conservative-neutral-aggressive attitudes. The return rates of stocks are characterized by fuzzy variables. The Pareto-optimal solutions are obtained by maximizing the return and minimizing the risk subject to constraints of transaction cost and value at risk. Since investors with different attitudes may have different understanding of the likelihoods of occurrence, measure Me...
Paper Details
Title
Portfolio selection under different attitudes in fuzzy environment
Published Date
Sep 1, 2018
Journal
Volume
462
Pages
278 - 289
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