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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/109227


    Title: Fuzzy Portfolio Selection Using a Weighted Function of Possibilistic Mean and Variance in Business Cycles
    Authors: Chen, I.-F.;Tsaur, R.-C.
    Keywords: Fuzzy portfolio model;Efficient portfolio;Weighted function;Business cycles
    Date: 2016-04
    Issue Date: 2017-01-13 02:10:54 (UTC+8)
    Abstract: Investment portfolios are typically selected to reduce investment risk. In an economic recession or depression, investment strategies tend to be short term, subtle, and uncertain. When the economy is recovering or booming, investors should approach portfolio selection differently in response to the varying investment return and risk. Therefore, this study posits that different portfolios should be selected in different stages of the business cycle. An improved function for weighting possibilistic mean and variance is proposed, and a weighted fuzzy portfolio model for various investment conditions is then derived. Finally, a numerical example is presented to illustrate that the proposed models can obtain the optimal proportion of an investment throughout the business cycle to meet investors’ expectations.
    Relation: International Journal of Fuzzy Systems 18(2), pp.151-159
    DOI: 10.1007/s40815-015-0073-9
    Appears in Collections:[Department of Management Sciences] Journal Article

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