Uncertain portfolio optimization based on Dempster-Shafer theory

Management Science Letters Pub Date : 2022-01-01 DOI:10.5267/j.msl.2022.1.001

Amirhossein Skoruchi, Emran Mohammadi

引用次数: 3

Abstract

Nowadays, the selection and management of the optimal portfolio are the most primary fields of financial decision-making. Thereby, selecting a portfolio capable of providing the highest efficiency and, at the same time, the lowest investment risk has been turned into one of the most critical concerns among financial activists. However, in this selection, the two factors above are not the only determining ones. Various factors are affecting financial markets' behavior under different possible scenarios, which should be identified. In this paper, we examine the high sensitivity of the Iranian capital market to the exchange rate fluctuations in the different scenarios due to the lack of a unified view of the value of that rate among experts as one of the mentioned factors and obtain its value using Dempster–Shafer theory (DST). Then, a portfolio selection model that prefers stocks with higher ranks is proposed. Representative results of the real-life case study reveal that the submitted approach is productive and practically applicable.

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基于Dempster-Shafer理论的不确定投资组合优化

当前，最优投资组合的选择和管理是财务决策的最主要领域。因此，选择一种能够提供最高效率、同时投资风险最低的投资组合，已成为金融活跃人士最关心的问题之一。然而，在这个选择中，上述两个因素并不是唯一的决定因素。在不同可能的情况下，各种因素影响着金融市场的行为，这些因素应该被识别出来。在本文中，我们研究了伊朗资本市场在不同情景下对汇率波动的高度敏感性，因为专家们对该汇率的价值缺乏统一的看法，作为上述因素之一，并使用Dempster-Shafer理论(DST)获得其价值。在此基础上，提出了偏好高阶股票的投资组合选择模型。实际案例研究的代表性结果表明，所提出的方法是有效的和实际适用的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Management Science Letters

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： Management Science Letters is a peer reviewed, monthly publication dedicated to create a forum for scientists in all over the world who wish to share their experiences and knowledge in the field of management skills in the form of original, high quality and value added articles. The journal''s policy is to perform a peer review on all submitted articles and the papers will be appeared in a form of online on our website as soon as the review result becomes positive. The journal covers both empirical and theoretical aspects of management and gives the chance on sharing knowledge among practitioners. Management Science Letters is dedicated for publishing in the following areas: • Quality Management • Production Management (Scheduling, Production management, etc.) • Total Quality Management (TQM) • Six Sigma • Production Efficiency • Just in Time Inventory • Data Envelopment Analysis • Balanced Score Card • Activity Based Cost (ABC) • Technology Acceptance Model • Marketing planning and Customer Relationship Management • Critical Success Factors • e-learning • Customer satisfaction, Job satisfaction, Job turnover, • Organizational commitment, Employee Commitment • Knowledge Management • Knowledge sharing • Human Resources Management (Employee training, Employee Performance, Work achievements,) • Small and medium-sized enterprises (SMEs) issues and Economic development • Innovation, Creativity, Productivity and Performance • Multi-Criteria Decision Making Applications in Management Science (AHP, BWM, TOPSIS, …) • Education Management, Social development, Public Policy • Tourism Industry, Tourism promotion, Tourism directorates • Business performance and financial performance