Portfolio adjusting optimization under credibility measures

Authors:
Xili Zhang;Wei-Guo Zhang;Ruichu Cai
Affiliations:
School of Business Administration, South China University of Technology, Guangzhou, 510641, PR China;School of Business Administration, South China University of Technology, Guangzhou, 510641, PR China;School of Computer Science and Engineering, South China University of Technology, Guangzhou, 510641, PR China
Venue:
Journal of Computational and Applied Mathematics
Year:
2010

Citing 13
Cited 3

Practical methods of optimization; (2nd ed.)

Practical methods of optimization; (2nd ed.)
Constrained nonlinear programming

Optimization
Portfolio selection under independent possibilistic information

Fuzzy Sets and Systems - Special issue on soft decision analysis
Theory and Practice of Uncertain Programming

Theory and Practice of Uncertain Programming
A possibilistic approach to selecting portfolios with highest utility score

Fuzzy Sets and Systems - Special issue: Soft decision analysis
Possibilistic mean-variance models and efficient frontiers for portfolio selection problem

Information Sciences: an International Journal
Portfolio selection with fuzzy returns

Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
Mean-semivariance models for fuzzy portfolio selection

Journal of Computational and Applied Mathematics
On weighted lower and upper possibilistic means and variances of fuzzy numbers and its application in decision

Knowledge and Information Systems
Uncertainty Theory

Uncertainty Theory
An estimation model of value-at-risk portfolio under uncertainty

Fuzzy Sets and Systems
Portfolio selection problems with random fuzzy variable returns

Fuzzy Sets and Systems
Expected value of fuzzy variable and fuzzy expected value models

IEEE Transactions on Fuzzy Systems

Mean-variance models for portfolio selection subject to experts' estimations

Expert Systems with Applications: An International Journal
A risk index model for portfolio selection with returns subject to experts' estimations

Fuzzy Optimization and Decision Making
Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

Information Sciences: an International Journal

Quantified Score

Hi-index	7.29

Visualization

Abstract

This paper discusses portfolio adjusting problems for an existing portfolio. The returns of risky assets are regarded as fuzzy variables and a class of credibilistic mean-variance adjusting models with transaction costs are proposed on the basis of credibility theory. Under the assumption that the returns of risky assets are triangular fuzzy variables, the optimization models are converted into crisp forms. Furthermore, we employ the sequential quadratic programming method to work out the optimal strategy. Numerical examples illustrate the effectiveness of the proposed models and the influence of the transaction costs in portfolio selection.