Related papers: Fuzziness and Funds Allocation in Portfolio Optimi…
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…
In this paper two portfolio choice models are studied: a purely possibilistic model, in which the return of a risky asset is a fuzzy number, and a mixed model in which a probabilistic background risk is added. For the two models an…
Portfolio selection involves optimizing simultaneously financial goals such as risk, return and Sharpe ratio. This problem holds considerable importance in economics. However, little has been studied related to the nonconvexity of the…
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have…
In financial asset management, choosing a portfolio requires balancing returns, risk, exposure, liquidity, volatility and other factors. These concerns are difficult to compare explicitly, with many asset managers using an intuitive or…
Fuzzy optimization deals with the problem of determining 'optimal'solutions of an optimization problem when some of the elements that appear in the problem are not precise. In real situations it is usual to have information, in systems…
This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at…
Fuzzy constraints are a popular approach to handle preferences and over-constrained problems in scenarios where one needs to be cautious, such as in medical or space applications. We consider here fuzzy constraint problems where some of the…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
In the study of investment problem, aside from the investment risk the background risk appears. Both the investment risk and the background risk are probabilistically described by random variables. This paper starts from the hypothesis that…
It is well known over the recent years that measuring the success of projects under the umbrella of project management is inextricably linked with the associated cost, time, and quality. Most of the previous researches in the field assigned…
The demand for high-quality video streaming has propelled the evolution of adaptive streaming systems. Efficient resource allocation is paramount to ensuring optimal viewer experience, considering dynamic factors such as server load,…
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value.…
This paper develops a category-theoretic approach to uncertainty, informativeness and decision-making problems. It is based on appropriate first order fuzzy logic in which not only logical connectives but also quantifiers have fuzzy…
We introduce new mathematical methods to study the optimal portfolio size of investment portfolios over time, considering investors with varying skill levels. First, we explore the benefit of portfolio diversification on an annual basis for…
In practice, a ranking of objects with respect to given set of criteria is of considerable importance. However, due to lack of knowledge, information of time pressure, decision makers might not be able to provide a (crisp) ranking of…
This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…
Many active funds hold concentrated portfolios. Flow-driven trading in these securities causes price pressure, which pushes up the funds' existing positions resulting in realized returns. We decompose fund returns into a price pressure…
Autonomous robots must operate in complex and changing environments subject to requirements on their behaviour. Verifying absolute satisfaction (true or false) of these requirements is challenging. Instead, we analyse requirements that…
Risk specialists are trying to understand risk better and use complex models for risk assessment, while many risks are not yet well understood. The lack of empirical data and complex causal and outcome relationships make it difficult to…