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This article is cited in 3 scientific papers (total in 3 papers)
On one problem of portfolio analysis under soft constraints
I. S. Soldatenko, A. V. Yazenin Tver State University, Tver
Abstract:
A model of a minimal risk portfolio under conditions of hybrid uncertainty of the possibility-probability type based on the principle of expected possibility has been developed and studied. The peculiarity of this model is that the "softness" of the restriction on the level of expected return is modeled by replacing a clear restriction with a possibilistic binary relation. The model example shows how the softness of the constraint affects a set of quasi-effective estimates of an investment portfolio.
Keywords:
minimal risk portfolio, hybrid uncertainty, fuzzy random variable, possibility, expected possibility, possibilistic relation, soft restriction on possibility.
Received: 19.05.2020 Revised: 22.06.2020
Citation:
I. S. Soldatenko, A. V. Yazenin, “On one problem of portfolio analysis under soft constraints”, Nechetkie Sistemy i Myagkie Vychisleniya, 15:1 (2020), 64–76
Linking options:
https://www.mathnet.ru/eng/fssc71 https://www.mathnet.ru/eng/fssc/v15/i1/p64
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