Robust-based interactive portfolio selection problems with an uncertainty set of returns
Robust-based interactive portfolio selection problems with an uncertainty set of returns
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DOI：
10.1007/s10700-013-9157-x
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发表时间：
2013-02
影响因子：
4.7
通讯作者：
T. Hasuike;H. Katagiri
中科院分区：
文献类型：
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作者：
T. Hasuike;H. Katagiri
本文考虑了一个未来收益和满意度不确定的鲁棒投资组合选择问题。由于所提出的模型是制定为一个不明确的问题，由于不确定性和双目标，即最大限度地提高上述满意度，它是很难直接解决模型，而不引入一些标准的双目标函数的最优性。因此，通过引入模糊目标和交互式模糊满足方法，该模型转化为一个确定性等价问题。此外，为了得到精确的最优投资组合的解析，通过引入辅助问题，并进行等价变换的解决方法。为了将该模型与已有的模型进行比较，给出了数值算例，结果表明，利用交互过程来调整投资者满意度，最大化稳健性参数和总收益是非常重要的.
This paper considers a robust portfolio selection problem with an uncertainty set of future returns and satisfaction levels in terms of the total return and robustness parameter. Since the proposed model is formulated as an ill-defined problem due to uncertainty and is bi-objective, that is, to maximize both the abovementioned satisfaction levels, it is difficult to solve the model directly without introducing some criterion of optimality for the bi-objective functions. Therefore, by introducing fuzzy goals and an interactive fuzzy satisficing method, the proposed model is transformed into a deterministic equivalent problem. Furthermore, to obtain the exact optimal portfolio analytically, a solution method is developed by introducing the auxiliary problem and performing equivalent transformations. In order to compare the proposed model with previous useful models, numerical examples are provided, and the results show that it is important to maximize the robustness parameter and total return using the interactive process for adjusting investor’s satisfaction levels.