Download or read book Modeling of Linear Uncertain Portfolio Selection with Uncertain Constraint and Risk Index written by Weiwei Guo and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since securities markets are subject to a great deal of uncertainty and complexity, the returns of securities cannot be accurately estimated by historical data. In this case, it must use experts' knowledge and judgment. Therefore, we investigate portfolio selection problems in such uncertain environments. First, this paper regards the rate of return on security as an uncertain variable which obeys linear uncertain distribution, and then provides the analytical expressions of the corresponding risk, return and risk index in the uncertain portfolio selection environment. Afterwards, we construct three types uncertain portfolio selection models with uncertain constraint, namely, the minimizing risk, the maximizing return and the maximizing belief degree. Meanwhile, in order to more intuitively reflect the investor's sense of loss, three types uncertain portfolio selection models considering both uncertain constraint and risk index are also constructed. These models are transformed into corresponding deterministic models. Furthermore, a relevant particle swarm optimization (PSO) algorithm is proposed to solve these models. Finally, through an example analysis, this paper obtains the portfolio selection strategies under different objectives, compares the results under different models, verifies the rationality and effectiveness of the models and algorithm, and analyzes the sensitivity of the parameters.
Download or read book Advanced Stochastic Models Risk Assessment and Portfolio Optimization written by Svetlozar T. Rachev and published by Wiley. This book was released on 2008-05-16 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
Download or read book Portfolio Selection with Parameter and Model Uncertainty written by Lorenzo Garlappi and published by . This book was released on 2005 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Uncertain Portfolio Optimization written by Zhongfeng Qin and published by Springer. This book was released on 2016-09-16 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.
Download or read book Sparse and Stable Portfolio Selection with Parameter Uncertainty written by Jiahan Li and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of alternative mean-variance portfolio strategies have been recently proposed to improve the empirical performance of the classic Markowitz mean-variance framework. Designed as remedies for parameter uncertainty and estimation errors in portfolio selection problems, these alternative portfolio strategies deliver substantially better out-of-sample performance. In this paper, we first show how to solve a general portfolio selection problem in a linear regression framework. Then we propose to reduce the estimation risk of expected returns and the variance-covariance matrix of asset returns by imposing additional constraints on the portfolio weights. With results from linear regression models, we show that portfolio weights derived from new approaches enjoy two favorable properties: sparsity and stability. Moreover, we present insights into these new approaches as well as their connections to alternative strategies in literature. Four empirical studies show that the proposed strategies have better out-of-sample performance and lower turnover than many other strategies, especially when the estimation risk is large.
Download or read book Portfolio Decision Analysis written by Ahti Salo and published by Springer Science & Business Media. This book was released on 2011-08-12 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Download or read book Solving fully neutrosophic linear programming problem with application to stock portfolio selection written by Hamiden Abd El-Wahed Khalifa and published by Infinite Study. This book was released on with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Neutrosophic set is considered as a generalized of crisp set, fuzzy set, and intuitionistic fuzzy set for representing the uncertainty, inconsistency, and incomplete knowledge about the real world problems. In this paper, a neutrosophic linear programming (NLP) problem with single-valued trapezoidal neutrosophic numbers is formulated and solved. A new method based on the so-called score function to find the neutrosophic optimal solution of fully neutrosophic linear programming (FNLP) problem is proposed.
Download or read book Methods for Decision Making in an Uncertain Environment written by Jaime Gil-Aluja and published by World Scientific. This book was released on 2012 with total page 471 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the XVII SIGEF Congress. It presents fuzzy logic, neural networks and other intelligent techniques applied to economic and business problems. This book is very useful for researchers and graduate students aiming to introduce themselves to the field of quantitative techniques for overcoming uncertain environments. The contributors are experienced scholars of different countries who offer real world applications of these mathematical techniques.
Download or read book Methods For Decision Making In An Uncertain Environment Proceedings Of The Xvii Sigef Congress written by Jaime Gil-aluja and published by World Scientific. This book was released on 2012-05-28 with total page 471 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the XVII SIGEF Congress. It presents fuzzy logic, neural networks and other intelligent techniques applied to economic and business problems. This book is very useful for researchers and graduate students aiming to introduce themselves to the field of quantitative techniques for overcoming uncertain environments. The contributors are experienced scholars of different countries who offer real world applications of these mathematical techniques./a
Download or read book Financial Economics Risk and Information written by Marcelo Bianconi and published by World Scientific. This book was released on 2003 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book presents a balanced blend of pure finance and contract theory in the presence of risk, alternative forms of information structures, and static and dynamic frameworks. In particular, it provides an introduction to the use of stochastic methods in financial economics and finance. The following topics are covered: financial risk and asset pricing and asset returns under alternative contractual arrangements, portfolio choice, individual behavior towards risk, general equilibrium under uncertainty in discrete and continuous time settings, indivisibilities and nonconvexities in a general equilibrium context, contract theory, mechanism design and principal-agent relationships in partial and general equilibrium contexts, credit markets, and option pricing."
Download or read book Neutrosophic Sets and Systems vol 51 2022 written by Florentin Smarandache and published by Infinite Study. This book was released on 2022-09-01 with total page 970 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Neutrosophic Sets and Systems” has been created for publications on advanced studies in neutrosophy, neutrosophic set, neutrosophic logic, neutrosophic probability, neutrosophic statistics that started in 1995 and their applications in any field, such as the neutrosophic structures developed in algebra, geometry, topology, etc. Neutrosophy is a new branch of philosophy that studies the origin, nature, and scope of neutralities, as well as their interactions with different ideational spectra. This theory considers every notion or idea together with its opposite or negation
Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Download or read book Proceedings of the Fifth International Forum on Decision Sciences written by Xiang Li and published by Springer. This book was released on 2018-05-11 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proceedings volume consists of academic papers on decision-making under uncertainty, smart decision, stochastic optimization, management simulation and its applications. It presents some compelling and valuable results on the cutting-edge modeling methods and the practical case studies in the operations management process for power, transportation, and logistics companies.
Download or read book Advances in Portfolio Selection Under Discrete Choice Constraints written by Stephen James Stoyan and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last year or so, we have witnessed the global effects and repercussions related to the field of finance. Supposed blue chip stocks and well-established companies have folded and filed for bankruptcy, an event that might have thought to been absurd two years ago. In addition, finance and investment science has grown over the past few decades to include a plethora of investment options and regulations. Now more than ever, developments in the field are carefully examined and researched by potential investors. This thesis involves an investigation and quantitative analysis of key money management problems. The primary area of interest is Portfolio Selection, where we develop advanced financial models that are designed for investment problems of the 21 st century. Portfolio selection is the process involved in making large investment decisions to generate a collection of assets. Over the years the selection process has evolved dramatically. Current portfolio problems involve a complex, yet realistic set of managing constraints that are coupled to general historic risk and return models. We identify three well-known portfolio problems and add an array of practical managing constraints that form three different types of Mixed-Integer Programs. The product is advanced mathematical models related to risk-return portfolios, index tracking portfolios, and an integrated stock-bond portfolio selection model. The numerous sources of uncertainty are captured in a Stochastic Programming framework, and Goal Programming techniques are used to facilitate various portfolio goals. The designs require the consideration of modelling elements and variables with respect to problem solvability. We minimize trade-offs in modelling and solvability issues found in the literature by developing problem specific algorithms. The algorithms are tailored to each portfolio design and involve decompositions and heuristics that improve solution speed and quality. The result is the generation of portfolios that have intriguing financial outcomes and perform well with respect to the market. Portfolio selection is as dynamic and complex as the recent economic situation. In this thesis we present and further develop the mathematical concepts related to portfolio construction. We investigate the key financial problems mentioned above, and through quantitative financial modelling and computational implementations we introduce current approaches and advancements in field of Portfolio Optimization.
Download or read book Handbook of the Economics of Risk and Uncertainty written by Mark Machina and published by Newnes. This book was released on 2013-11-14 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need to understand the theories and applications of economic and finance risk has been clear to everyone since the financial crisis, and this collection of original essays proffers broad, high-level explanations of risk and uncertainty. The economics of risk and uncertainty is unlike most branches of economics in spanning from the individual decision-maker to the market (and indeed, social decisions), and ranging from purely theoretical analysis through individual experimentation, empirical analysis, and applied and policy decisions. It also has close and sometimes conflicting relationships with theoretical and applied statistics, and psychology. The aim of this volume is to provide an overview of diverse aspects of this field, ranging from classical and foundational work through current developments. Presents coherent summaries of risk and uncertainty that inform major areas in economics and finance Divides coverage between theoretical, empirical, and experimental findings Makes the economics of risk and uncertainty accessible to scholars in fields outside economics
Download or read book Risk Analysis in Theory and Practice written by Jean-Paul Chavas and published by Elsevier. This book was released on 2004-06-04 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of Risk Analysis in Theory and Practice is to present this analytical framework and to illustrate how it can be used in the investigation of economic decisions under risk. In a sense, the economics of risk is a difficult subject: it involves understanding human decisions in the absence of perfect information. How do we make decisions when we do not know some of events affecting us? The complexities of our uncertain world and of how humans obtain and process information make this difficult. In spite of these difficulties, much progress has been made. First, probability theory is the corner stone of risk assessment. This allows us to measure risk in a fashion that can be communicated among decision makers or researchers. Second, risk preferences are now better understood. This provides useful insights into the economic rationality of decision making under uncertainty. Third, over the last decades, good insights have been developed about the value of information. This helps better understand the role of information in human decision making and this book provides a systematic treatment of these issues in the context of both private and public decisions under uncertainty. Balanced treatment of conceptual models and applied analysis Considers both private and public decisions under uncertainty Website presents application exercises in Excel
