A risk index model for portfolio selection with returns subject to experts'; estimations

作者：Huang Xiaoxia^*

来源：Fuzzy Optimization and Decision Making, 2012, 11(4): 451-463.

DOI：10.1007/s10700-012-9125-x

• Portfolio selection
• Uncertain programming
• Mean-risk index model
• Risk index

Portfolio selection is concerned with selecting an optimal portfolio that can strike a balance between maximizing the return and minimizing the risk among a large number of securities. Traditionally, security returns were regarded as random variables. However, there are cases that the predictions of security returns are given mainly based on experts'; judgements and estimations rather than historical data. In this paper, we introduce a new type of variable to reflect the subjective estimations of the security returns. A risk index for uncertain portfolio selection is proposed and a new safe criterion for judging the portfolio investment is introduced. Based on the proposed risk index, a new mean-risk index model is developed and its crisp forms are given. In addition, to illustrate the application of the model, two numerical examples are also presented.

• 出版日期2012-12
• 单位北京科技大学