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A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures
المؤلفون المشاركون
Sui, Yunyun
Hu, Jiangshan
Ma, Fang
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-12، 12ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2020-08-29
دولة النشر
مصر
عدد الصفحات
12
التخصصات الرئيسية
الملخص EN
In recent years, fuzzy set theory and possibility theory have been widely used to deal with an uncertain decision environment characterized by vagueness and ambiguity in the financial market.
Considering that the expected return rate of investors may not be a fixed real number but can be an interval number, this paper establishes an interval-valued possibilistic mean-variance portfolio selection model.
In this model, the return rate of assets is regarded as a fuzzy number, and the expected return rate of assets is measured by the interval-valued possibilistic mean of fuzzy numbers.
Therefore, the possibilistic portfolio selection model is transformed into an interval-valued optimization model.
The optimal solution of the model is obtained by using the order relations of interval numbers.
Finally, a numerical example is given.
Through the numerical example, it is shown that, when compared with the traditional possibilistic model, the proposed model has more constraints and can better reflect investor psychology.
It is an extension of the traditional possibilistic model and offers greater flexibility in reflecting investor expectations.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Sui, Yunyun& Hu, Jiangshan& Ma, Fang. 2020. A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1194981
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Sui, Yunyun…[et al.]. A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures. Mathematical Problems in Engineering No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1194981
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Sui, Yunyun& Hu, Jiangshan& Ma, Fang. A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1194981
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1194981
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
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