Fuzzy Optimization and Decision Making最新文献

Portfolio selection with second order uncertain dominance constraint 具有二阶不确定支配约束的投资组合选择

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-09-17 DOI: 10.1007/s10700-024-09433-x

Xiaoxia Huang, Xue Meng, Xiaozhu Xu

引用次数: 0

Valuation of convertible bond based on uncertain fractional differential equation 基于不确定分数微分方程的可转换债券估值

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-09-14 DOI: 10.1007/s10700-024-09431-z

Weiwei Wang, Dan A. Ralescu, Panpan Zhang

引用次数: 0

China’s carbon emission allowance prices forecasting and option designing in uncertain environment 不确定环境下的中国碳排放配额价格预测与期权设计

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-09-09 DOI: 10.1007/s10700-024-09432-y

Lifen Jia, Linya Zhang, Wei Chen

{"title":"China’s carbon emission allowance prices forecasting and option designing in uncertain environment","authors":"Lifen Jia, Linya Zhang, Wei Chen","doi":"10.1007/s10700-024-09432-y","DOIUrl":"https://doi.org/10.1007/s10700-024-09432-y","url":null,"abstract":"Carbon emissions trading is pivotal for advancing China’s low-carbon goals. As the primary tradable asset in the carbon market, carbon emission allowances inevitably experience price fluctuations. However, numerous empirical studies show that the frequency of real-world data is highly unstable, which results in the failure of probabilistic modeling. Therefore, this paper aims to model the dynamics of carbon emission allowance prices in China using four mainstream uncertain differential equations. The optimal model is chosen through rolling window cross-validation using the criterion of minimizing average testing errors. Parameters of the optimal model are determined by moment estimation based on residuals, and the model’s effectiveness is also assessed through uncertain two-sided hypothesis testing. Additionally, we forecast carbon emission allowance prices and their 95% confidence intervals for the next 14 business days. To manage trading risks, we propose a customized carbon option contract for pricing European carbon options and conduct sensitivity analysis on key parameters. Finally, we present a paradox of stochastic differential equations for modeling carbon emission allowance prices.","PeriodicalId":55131,"journal":{"name":"Fuzzy Optimization and Decision Making","volume":"56 1","pages":""},"PeriodicalIF":4.7,"publicationDate":"2024-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142185255","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Are the queueing systems in practice random or uncertain? Evidence from online car-hailing data in Beijing 实践中的排队系统是随机的还是不确定的？来自北京网约车数据的证据

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-09-05 DOI: 10.1007/s10700-024-09430-0

Yang Liu, Zhongfeng Qin, Xiang Li

引用次数: 0

Modeling of linear uncertain portfolio selection with uncertain constraint and risk index 具有不确定约束和风险指数的线性不确定投资组合选择建模

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-07-24 DOI: 10.1007/s10700-024-09429-7

Weiwei Guo, Wei-Guo Zhang, Zaiwu Gong

{"title":"Modeling of linear uncertain portfolio selection with uncertain constraint and risk index","authors":"Weiwei Guo, Wei-Guo Zhang, Zaiwu Gong","doi":"10.1007/s10700-024-09429-7","DOIUrl":"https://doi.org/10.1007/s10700-024-09429-7","url":null,"abstract":"Since securities market is subject to a great deal of uncertainty and complexity, the return of securities cannot be accurately estimated by historical data. In this case, it must use experts’ knowledge and judgment. Therefore, we investigate portfolio selection problems in such uncertain environments. First, this paper regards the rate of return on security as an uncertain variable which obeys linear uncertainty distribution, and then provides the analytical expressions of the corresponding risk, return and risk index in the uncertain portfolio selection environment. Afterwards, we construct three types uncertain portfolio selection models with uncertain constraint, namely, the minimizing risk, the maximizing return and the maximizing belief degree. Meanwhile, in order to more intuitively reflect the investor’s sense of loss, three types uncertain portfolio selection models considering both uncertain constraint and risk index are also constructed. These models are transformed into corresponding deterministic models. Finally, through an example analysis, this paper obtains the portfolio selection strategies under different objectives, compares the results under different models, and analyzes the sensitivity of the parameters.","PeriodicalId":55131,"journal":{"name":"Fuzzy Optimization and Decision Making","volume":"26 1","pages":""},"PeriodicalIF":4.7,"publicationDate":"2024-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141781342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Pricing of shout option in uncertain financial market 在不确定的金融市场上为喊价期权定价

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-07-12 DOI: 10.1007/s10700-024-09428-8

Haoxuan Li, Xiangfeng Yang, Yaodong Ni

引用次数: 0

Pricing and carbon reduction decisions for a new uncertain dual-channel supply chain under cap-and-trade regulation 限额交易监管下新的不确定双通道供应链的定价和碳减排决策

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-06-27 DOI: 10.1007/s10700-024-09427-9

Naiqi Liu, Wansheng Tang, Yanfei Lan, Huili Pei

{"title":"Pricing and carbon reduction decisions for a new uncertain dual-channel supply chain under cap-and-trade regulation","authors":"Naiqi Liu, Wansheng Tang, Yanfei Lan, Huili Pei","doi":"10.1007/s10700-024-09427-9","DOIUrl":"https://doi.org/10.1007/s10700-024-09427-9","url":null,"abstract":"This study concentrates on the pricing issue in a low-carbon dual-channel (DC) supply chain, where the upper-level manufacturer is regulated by the cap-and-trade (CAT) mechanisms. Market demand is a key factor affecting pricing decision and demand uncertainty complicates the pricing problem. To deal with the challenge that only partial demand distribution information is available, this paper proposes a novel ambiguity distribution set to depict the uncertain demand. Under the proposed ambiguity distribution set, a robust fuzzy bi-level optimization pricing model is developed for the low-carbon DC supply chain. Three CAT regulation mechanisms, no CAT regulation, grandfathering (GF) mechanism and benchmarking (BM) mechanism, are considered to address the manufacturer’s CAT regulation. The analytically tractable counterpart of the proposed model is derived and the corresponding robust equilibrium solutions are obtained under three CAT mechanisms. Numerical analyses are carried out to explore the impact of the demand uncertainty on the manufacturer’s selection of the CAT regulation mechanism. The numerical results indicate that the uncertainty degree can change the manufacturer’s selection of the regulated mechanisms. Specifically, when the uncertainty degree is smaller, the BM mechanism is beneficial for the manufacturer comparing with the GF mechanism; when the uncertainty degree is bigger, the manufacturer prefers to GF mechanism rather than BM mechanism.","PeriodicalId":55131,"journal":{"name":"Fuzzy Optimization and Decision Making","volume":"8 1","pages":""},"PeriodicalIF":4.7,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Pricing and valuation of carbon swap in uncertain finance market 不确定金融市场中碳交换的定价和估值

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-06-17 DOI: 10.1007/s10700-024-09423-z

Zhe Liu, Yanbin Li

{"title":"Pricing and valuation of carbon swap in uncertain finance market","authors":"Zhe Liu, Yanbin Li","doi":"10.1007/s10700-024-09423-z","DOIUrl":"https://doi.org/10.1007/s10700-024-09423-z","url":null,"abstract":"It has become a consensus in the international community to actively address global climate change issues and strive to achieve carbon reduction. For this purpose, carbon finance market plays a significant role in reducing carbon emissions by providing financial mechanisms to support and incentivize emission reduction projects. As a type of carbon finance derivative, carbon swap is an agreement between two parties whereby a floating price is exchange for a fixed price for carbon emission right over a specified period. How to price carbon swap before signing, i.e., determine the fixed price in the swap contract, and valuate carbon swap during the life of the swap contract are key issues. Noting the fact that the underlying asset of carbon swap is carbon price, the primary task is to model carbon price reasonably. Due to the inherent challenges and uncertainties associated with pricing carbon, frequency stability is often not guaranteed, resulting in the failure of probability based methods. Thus, this paper characterizes the carbon price using uncertain differential equation under the framework of uncertainty theory, and derives swap pricing and valuation formulas. Estimations for unknown parameters in the proposed model are given. Finally, with carbon spot price in European Energy Exchange, real data analyses are documented to illustrate our proposed methods in details.","PeriodicalId":55131,"journal":{"name":"Fuzzy Optimization and Decision Making","volume":"2 1","pages":""},"PeriodicalIF":4.7,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501340","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Higher-order derivative of uncertain process and higher-order uncertain differential equation 不确定过程的高阶导数和高阶不确定微分方程

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-04-08 DOI: 10.1007/s10700-024-09422-0

Kaixi Zhang, Baoding Liu

引用次数: 0

Uncertain nonlinear time series analysis with applications to motion analysis and epidemic spreading 不确定非线性时间序列分析在运动分析和流行病传播中的应用

IF 4.7 2区计算机科学

Fuzzy Optimization and Decision Making Pub Date : 2024-03-23 DOI: 10.1007/s10700-024-09421-1

Jinsheng Xie, Waichon Lio

引用次数: 0