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Fuzzy Portfolio Optimization And Applied Research

Posted on:2015-05-02Degree:MasterType:Thesis
Country:ChinaCandidate:S XiongFull Text:PDF
GTID:2309330422491350Subject:Finance
Abstract/Summary:PDF Full Text Request
Financial market is full of uncertainties, such as the subject: domestic andinternational economic climate, economic policy, its own operating rules, climate,disasters and other factors, investors are unable to various investment vehiclesexpected return and risk for accurate predictions. No matter how traditionalportfolio model change, only used the statistics of the expectation, variance solvethe problems in the financial markets randomness, the fuzziness and uncertainty hasnot been resolved, therefore, the portfolio decision-making based on fuzzyenvironment just to solve this problem.There are already a number of scholars have studied the portfolio under fuzzyconditions, they use different theories to fuzziness introduced in model portfoliosand found fuzziness might have an impact on the portfolio. In this paper, asystematic collation of results of these studies, while separately using fuzzy decisiontheory, fuzzy possibility theory, interval number theory, from different angles offuzziness measure, Studied fuzzy decision portfolio, fuzzy possibility portfolioInterval portfolio, these models were further optimized, through relaxing frictionlessmarket constraints, change the decision variables, etc.In this paper, these models transforming into linear model, by the way ofvariable substitution and weighting methods, and used the SSE50Index samples inan empirical study. The results of the study showed that, portfolio considered dataambiguity and market frictions is more practical, more flexible and wider range ofapplications. In short, both in theory and practice have important research value.
Keywords/Search Tags:Portfolio, market frictions, fuzzy decision, fuzzy possibilities, intervalnumber
PDF Full Text Request
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