Fuzzy portfolio model with different investor risk attitudes

doi:10.1016/j.ejor.2012.10.036

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/92452

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题名:	Fuzzy portfolio model with different investor risk attitudes
作者:	Tsaur, Ruey-Chyn
贡献者:	淡江大學管理科學學系
关键词:	Decision analysis;Fuzzy portfolio model;Risk attitude;Possibilistic mean–standard deviation model
日期:	2013-06-01
上传时间:	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
显示于类别:	[管理科學學系暨研究所] 期刊論文

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