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    题名: Fuzzy Portfolio Selection in the Risk Attitudes of Dimension Analysis under the Adjustable Security Proportions
    作者: Kuen-Suan Chen, Yin-Yin Huang, Ruey-Chyn Tsaur, Nei-Yu Lin
    关键词: fuzzy portfolio selection;dimension of shortage investment;dimension of excess investment;guaranteed return rate;adjustable security proportion
    日期: 2023-02-15
    上传时间: 2024-07-30 12:07:56 (UTC+8)
    出版者: MDPI
    摘要: Fuzzy portfolio models have received many researchers’ focus on the issue of risk preferences. The portfolio based on guaranteed return rates has been developing and considering the dimension of excess investment for the investors in different risk preferences. However, not only excess investment but also shortage investment to the selected portfolio should be considered for risk preferences, including risk-seeking, risk-neutral, and risk-averse, by different degrees of dimensions in excess investment and shortage investment. A comparison to the degree of dimensions for the excess investment and shortage investment indicates that a risk-seeker would like to have excess investment for securities whose return rates are bigger than the guaranteed return rates and shortage investment for securities whose return rates are smaller than the guaranteed return rates. Finally, we present three experiments to illustrate the proposed model. The results show that the different risk preferences derive different fuzzy portfolio selections under s and t dimensions, where a lower value of s is suggested for a risk-seeker as t > s, and we suggest the values of s and t to be smaller than or equal to 3. By contrast, for the risk-neutral investor, we suggest s = t; t < s is suggested to the investor who is risk-averse.
    關聯: Mathematics 11(5), 1143
    DOI: 10.3390/math11051143
    显示于类别:[管理科學學系暨研究所] 期刊論文

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