A possibilistic approach to selecting portfolios with highest utility score
A possibilistic approach to selecting portfolios with highest utility score
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DOI：
10.1016/s0165-0114(01)00251-2
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发表时间：
2002-10-01
影响因子：
3.9
通讯作者：
Majlender, P
中科院分区：
文献类型：
--
作者：
Carlsson, C;Fullér, R;Majlender, P
证券投资组合问题的均值-方差方法由Markowitz提出，是现代金融学的重要研究领域之一。在本文中，我们将假设：（1）每个投资者都可以根据投资组合的预期收益和风险为竞争性投资组合分配一个福利或效用分数;（2）证券收益率由可能性分布而不是概率分布建模。我们将提出一个复杂度为o（n（3））的算法，用于在可能性分布下找到n资产投资组合选择问题的精确最优解（在效用分数的意义下）。(C)2001 Elsevier Science B. V.保留所有权利。
The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modem finance. In this paper we will assume that: (i) each investor can assign a welfare, or utility, score to competing investment portfolios based on the expected return and risk of the portfolios; and (ii) the rates of return on securities are modelled by possibility distributions rather than probability distributions. We will present an algorithm of complexity o(n(3)) for finding an exact optimal solution (in the sense of utility scores) to the n-asset portfolio selection problem under possibility distributions. (C) 2001 Elsevier Science B.V. All rights reserved.