کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085202 | 1477947 | 2008 | 19 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Portfolio selection subject to experts' judgments Portfolio selection subject to experts' judgments](/preview/png/5085202.png)
Since Markowitz [Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77-91.], mean-variance theory has assumed that risky-asset returns to be random variables. The theory deals with this uncertainty by further assuming that investors hold homogeneous beliefs regarding the probability distribution governing return uncertainty. While the theory deals with return uncertainty, it fails to address measurement imprecision. In his original work, Markowitz recognized the need to combine randomness with heterogeneous expert judgment resulting in such imprecision. The main objective contributions of the paper are (i) to explore the implications of fuzzy return indeterminacy on mean-variance optimal portfolio choice, (ii) to use bid-ask spread as a proxy measure of the indeterminacy or “fuzzy” nature of random returns, and (iii) to introduce a brief, self-contained glimpse of empirical representations to practitioners unfamiliar with the fuzzy modeling field. Exposition, such as this one, is expected to open new collaborations between other branches of fuzzy mathematics and asset-pricing theories.
Journal: International Review of Financial Analysis - Volume 17, Issue 5, December 2008, Pages 1036-1054