کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077420 | 1374129 | 2010 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Due to changes of situation in financial markets and investors' preferences towards risk, an existing portfolio may not be efficient after a period of time. In this paper, we propose a possibilistic risk tolerance model for the portfolio adjusting problem based on possibility moments theory. A Sequential Minimal Optimization (SMO)-type decomposition method is developed for finding exact optimal portfolio policy without extra matrix storage. We present a simple method to estimate the possibility distributions for the returns of assets. A numerical example is provided to illustrate the effectiveness of the proposed models and approaches.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 3, June 2010, Pages 493-499
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 3, June 2010, Pages 493-499
نویسندگان
Wei-Guo Zhang, Xi-Li Zhang, Wei-Jun Xu,