当前位置: X-MOL 学术Mathematics › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Fuzzy Portfolio Selection in COVID-19 Spreading Period Using Fuzzy Goal Programming Model
Mathematics ( IF 2.4 ) Pub Date : 2021-04-12 , DOI: 10.3390/math9080835
Ruey-Chyn Tsaur , Chien-Liang Chiu , Yin-Yin Huang

While the international lockdown for the COVID-19 pandemic has greatly influenced the global economy, we are still confronted with the dilemma about the economy recession when the stock market hits record highs repeatedly. As we know, since portfolio selection is often affected by many non-probabilistic factors, it is of not easiness to obtain the precise probability distributions of the return rates. Therefore, fuzzy portfolio model is proposed for solving the efficient portfolio when the economy environment remains in vagueness for the future. To manage such an investment, we revise the Chen and Tsaur’s fuzzy portfolio model by using fuzzy goal programming model. Then, two numerical examples are illustrated by the proposed model which shows that the portfolio selection can be solved by the linguistic imprecise goal of the expected return. With different linguistic descriptions for the imprecise goal of expected return for the future stock market, the optimal portfolio selection that can be solved under different investment risks which is considered better than Chen and Tsaur’s model in real world situations. The sensitivity analysis with some parameter groups can be provided for more invested risk selection in the portfolio analysis.

中文翻译:

基于模糊目标规划模型的COVID-19传播期模糊资产组合选择

尽管国际对COVID-19大流行的封锁已经极大地影响了全球经济,但当股票市场屡屡创出历史新高时,我们仍然面临着经济衰退的困境。众所周知,由于投资组合的选择通常受许多非概率因素的影响,因此要获得准确的回报率概率分布并不容易。因此,提出了一种模糊的投资组合模型,用于在经济环境仍不确定的情况下求解有效的投资组合。为了管理这样的投资,我们通过使用模糊目标规划模型来修改Chen和Tsaur的模糊投资组合模型。然后,通过所提出的模型说明了两个数值示例,这些示例表明投资组合选择可以通过预期收益的语言不精确目标来解决。对于未来股票市场预期收益的不精确目标,用不同的语言描述,可以在不同的投资风险下解决的最优投资组合选择在现实世界中要比Chen和Tsaur的模型更好。可以提供带有一些参数组的敏感性分析,以便在投资组合分析中选择更多的投资风险。
更新日期:2021-04-12
down
wechat
bug