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    題名: Fuzzy portfolio model with different investor risk attitudes
    作者: Tsaur, Ruey-Chyn
    貢獻者: 淡江大學管理科學學系
    關鍵詞: Decision analysis;Fuzzy portfolio model;Risk attitude;Possibilistic mean–standard deviation model
    日期: 2013-06-01
    上傳時間: 2013-10-14 11:44:16 (UTC+8)
    出版者: Amsterdam: Elsevier BV * North-Holland
    摘要: We propose a fuzzy portfolio model designed for efficient portfolio selection with respect to uncertain or vague returns. Although many researchers have studied the fuzzy portfolio model, no researcher has yet attempted a behavioral analysis of the investor in the fuzzy portfolio model. To address this problem, we examined investor risk attitudes—risk-averse, risk-neutral, or risk-seeking behaviors—to discover an efficient method for fuzzy portfolio selection. In this study, we relied on the advantages of possibilistic mean–standard deviation models that we believed would fit the risk attitudes of investors. Thus, we developed a fuzzy portfolio model that focuses on different investor risk attitudes so that fuzzy portfolio selection for investors who possess different risk attitudes can be achieved more easily. Finally, we presented a numerical example of a portfolio selection problem to illustrate ways to address problems presented by a variety of investor risk attitudes.
    關聯: European Journal of Operational Research 227(2), pp.385-390
    DOI: 10.1016/j.ejor.2012.10.036
    顯示於類別:[管理科學學系暨研究所] 期刊論文

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