淡江大學機構典藏:Item 987654321/125624
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    题名: Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates
    作者: Chen, Kuen-Suan;Tsaur, Ruey-Chyn;Lin, Nei-Chih
    关键词: fuzzy portfolio model;dimension of excess investment;guaranteed return rate;risk preference
    日期: 2023-01-15
    上传时间: 2024-07-30 12:07:53 (UTC+8)
    出版者: MDPI
    摘要: 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.
    關聯: Mathematics 11(1), 44
    DOI: 10.3390/math11010044
    显示于类别:[管理科學學系暨研究所] 期刊論文

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