具有二阶不确定支配约束的投资组合选择

IF 4.8 2区 计算机科学 Q1 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE
Xiaoxia Huang, Xue Meng, Xiaozhu Xu
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引用次数: 0

摘要

本文在不确定性理论框架下提出了一个不确定均值-二阶支配模型。通过给出均值-预期效用等价,我们证明了所提出的模型适用于理性且规避风险的投资者,因为无论投资者采取何种具体的效用函数,该模型所产生的投资组合都能给投资者带来最大的预期收益,同时使投资者的预期效用值等于或高于参考收益。通过提供确定性等价物并将其与不确定均值-方差和不确定均值-风险指数模型进行比较,我们阐明了所提模型的优势,即更易于使用和投资更安全。此外,我们还给出了一个数值示例和一些实验,以说明该模型的应用及其优势。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Portfolio selection with second order uncertain dominance constraint

This paper proposes an uncertain mean-second order dominance model in the framework of uncertainty theory. By giving mean-expected utility equivalent, we show that the proposed model is suitable for rational and risk-averse investors because the portfolio produced by the model can give the investors the maximum expected return and in the meantime bring the investors expected utility value equal to or higher than the reference return no matter what specific utility functions the investors may take. By offering deterministic equivalents and comparing them with the uncertain mean-variance and uncertain mean-risk index models, we clarify the advantages of the proposed model, i.e., being easier to use and safer in investment. Furthermore, we give a numerical example and some experiments to illustrate the application of the model and the advantages of it.

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来源期刊
Fuzzy Optimization and Decision Making
Fuzzy Optimization and Decision Making 工程技术-计算机:人工智能
CiteScore
11.50
自引率
10.60%
发文量
27
审稿时长
6 months
期刊介绍: The key objective of Fuzzy Optimization and Decision Making is to promote research and the development of fuzzy technology and soft-computing methodologies to enhance our ability to address complicated optimization and decision making problems involving non-probabilitic uncertainty. The journal will cover all aspects of employing fuzzy technologies to see optimal solutions and assist in making the best possible decisions. It will provide a global forum for advancing the state-of-the-art theory and practice of fuzzy optimization and decision making in the presence of uncertainty. Any theoretical, empirical, and experimental work related to fuzzy modeling and associated mathematics, solution methods, and systems is welcome. The goal is to help foster the understanding, development, and practice of fuzzy technologies for solving economic, engineering, management, and societal problems. The journal will provide a forum for authors and readers in the fields of business, economics, engineering, mathematics, management science, operations research, and systems.
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