English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62797/95867 (66%)
Visitors : 3743765      Online Users : 570
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/121951


    Title: Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates
    Authors: Huang, Yin-Yin;Chen, I-Fei;Chiu, Chien-Liang;Tsaur, Ruey-Chyn
    Keywords: fuzzy portfolio model;efficient portfolio;guaranteed return rates;excess investment;shortage investment
    Date: 2021-11-25
    Issue Date: 2022-01-13 12:14:37 (UTC+8)
    Abstract: Based on the concept of high returns as the preference to low returns, this study discusses the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates in a fuzzy environment, in which the return rates for selected securities are characterized by fuzzy variables. We suppose some securities are for excess investment because their return rates are higher than the guaranteed return rates, and the other securities whose return rates are lower than the guaranteed return rates are considered for shortage investment. Then, we solve the proposed expected fuzzy returns by the concept of possibility theory, where fuzzy returns are quantified by possibilistic mean and risks are measured by possibilistic variance, and then we use linear programming model to maximize the expected value of a portfolio’s return under investment risk constraints. Finally, we illustrate two numerical examples to show that the expected return rate under a lower guaranteed return rate is better than a higher guaranteed return rates in different levels of investment risks. In shortage investments, the investment proportion for the selected securities are almost zero under higher investment risks, whereas the portfolio is constructed from those securities in excess investments.
    Relation: Mathematics 9(23), 3026
    DOI: 10.3390/math9233026
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates.pdf763KbAdobe PDF40View/Open
    index.html0KbHTML74View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback