کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4637626 | 1340745 | 2006 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A novel algorithm for uncertain portfolio selection
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, the conventional mean-variance method is revised to determine the optimal portfolio selection under the uncertain situation. The possibilistic area of the return rate is first derived using the possibisitic regression model. Then, the Mellin transformation is employed to obtain the mean and the risk by considering the uncertainty. Next, the revised mean-variance model is proposed to deal with the problem of uncertain portfolio selection. In addition, a numerical example is used to demonstrate the proposed method. On the basis of the numerical results, we can conclude that the proposed method can provide the more flexible and accurate results than the conventional method under the uncertain portfolio selection situation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 173, Issue 1, 1 February 2006, Pages 350-359
Journal: Applied Mathematics and Computation - Volume 173, Issue 1, 1 February 2006, Pages 350-359
نویسندگان
Jih-Jeng Huang, Gwo-Hshiung Tzeng, Chorng-Shyong Ong,