Related papers: Fuzziness and Funds Allocation in Portfolio Optimi…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
Portfolio optimization has been a major topic of research in finance, as it has a significant impact on investment profit. In this paper, we investigate the problem of data uncertainty in convex multi-objective portfolio optimization. We…
A fuzzy opinion is a Gaussian fuzzy set with the center representing the opinion and the standard deviation representing the uncertainty about the opinion, and a fuzzy opinion network is a connection of a number of fuzzy opinions in a…
Demand for high software reliability requires rigorous testing followed by requirement of robust modeling techniques for software quality prediction. On one side, firms have to steadily manage the reliability by testing it vigorously, the…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
We study investment strategy in different models of financial markets, where the investors cannot reach a perfect knowledge about available assets. The investor spends a certain effort to get information; this allows him to better choose…
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy…
Motivated by the analysis of a general optimal portfolio selection problem, which encompasses as special cases an optimal consumption and an optimal debt-arrangement problem, we are concerned with the questions of how a personality trait…
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already…
Today's cloud infrastructure landscape offers a broad range of services to build and operate software applications. The myriad of options, however, has also brought along a new layer of complexity. When it comes to procuring cloud computing…
In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms and approaches in this field of research which is essential…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…
Cluster analysis is widely used in the areas of machine learning and data mining. Fuzzy clustering is a particular method that considers that a data point can belong to more than one cluster. Fuzzy clustering helps obtain flexible clusters,…
Background: Wisdom is a superordinate construct that embraces perspective taking, reflectiveness, prosocial orientation, reflective empathetic action, and intellectual humility. Unlike conventional models of reasoning that are rigidly bound…
We give a geometrically motivated measure of skewness, define a mean value triangle number, and dispersion (in that order) of a fuzzy number without reference or seeking analogy to the namesake but parallel concepts in probability theory.…