Download Fuzzy Portfolio Optimization: Theory and Methods by Doctor Yong Fang, Professor Kin Keung Lai, Professor PDF

April 5, 2017 | Mathematics | By admin | 0 Comments

By Doctor Yong Fang, Professor Kin Keung Lai, Professor Shouyang Wang (auth.)

This is the 1st monograph on fuzzy portfolio optimization. through the use of fuzzy mathematical ways, quantitative research, qualitative research, the specialists' wisdom and the traders' subjective reviews should be greater built-in into portfolio choice versions. The contents of this ebook almost always include of the authors' study effects for fuzzy portfolio choice difficulties lately. furthermore, within the publication, the authors introduce another very important growth within the box of fuzzy portfolio optimization. a few basic concerns and difficulties of portfolio choice were studied systematically and greatly by means of the authors to use fuzzy platforms thought and optimization tools. a brand new framework for funding research is gifted during this e-book. a sequence of portfolio choice versions are given and a few of them are extra effective for functional functions. a few program examples are given to demonstrate these models.

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The measure of risk is minimizing the sum of absolute deviations from the averages associated with xi choices. t. i=1 n xi = M0 , i=1 li ≤ xi ≤ ui , i = 1, · · · , n. t. yk + i=1 n ˆ i ))xi ≥ 0, k = 1, 2, · · · , T, (rik − E(R yk − n i=1 ˆ i ))xi ≥ ρM0 , E(R i=1 n xi = M0 , i=1 li ≤ xi ≤ ui , i = 1, · · · , n. It has been shown that the MV and LMAD models usually generate similar portfolios. 2 Analysis of Infeasibility of Portfolio Selection Problem 51 feasible. But in many situations, when attempting to reflect the diversification proposed by the investor, infeasibility surfaces.

163384. 1%. 8. 5 Conclusion In this chapter, we introduce Le´ on, Liern and Vercher’s model (2002). They propose to use a specialized a fuzzy method that they have developed to repair infeasibility in linearly constrained problems. Their version takes into account the special structure of the constraints in linear and quadratic programming models for the portfolio selection problem, in such a way that the diversification and the expected return conditions are considered as soft constraints, while the remaining are hard constraints.

In order to meet the return target for assets under management, fund managers have to constantly judge the direction of financial market moves. Due to the inherent uncertainty of financial market, fund managers are very cautious in expressing their views about the market. Ramaswamy described the information content in such cautious views as fuzzy or vague, in terms of both the direction and the size of market moves. Ramaswamy assumed that the investment horizon is typically one to three months and the investment universe consists of government debt securities and plain vanilla options on these securities in his paper.

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