https://scholars.lib.ntu.edu.tw/handle/123456789/105423
標題: | A novel algorithm for uncertain portfolio selection | 作者: | Huang, Jih-Jeng Tzeng, Gwo-Hshiung Ong, Chorng-Shyong |
關鍵字: | Mean-variance method; Mellin transformation; Portfolio selection; Possibilistic regression | 公開日期: | 2006 | 卷: | 173 | 期: | 1 | 起(迄)頁: | 350-359 | 來源出版物: | Applied Mathematics and Computation | 摘要: | In this paper, the conventional mean-variance method is revised to determine the optimal portfolio selection under the uncertain situation. The possibilistic area of the return rate is first derived using the possibisitic regression model. Then, the Mellin transformation is employed to obtain the mean and the risk by considering the uncertainty. Next, the revised mean-variance model is proposed to deal with the problem of uncertain portfolio selection. In addition, a numerical example is used to demonstrate the proposed method. On the basis of the numerical results, we can conclude that the proposed method can provide the more flexible and accurate results than the conventional method under the uncertain portfolio selection situation. © 2005 Elsevier Inc. All rights reserved. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/84969 https://www.scopus.com/inward/record.uri?eid=2-s2.0-32144456220&doi=10.1016%2fj.amc.2005.04.074&partnerID=40&md5=df40485cfa59a1eee58fbe38db9ada6c |
ISSN: | 00963003 | SDG/關鍵字: | Mathematical models; Mathematical transformations; Numerical methods; Problem solving; Regression analysis; Mean-variance methods; Mellin transformations; Portfolio selection; Possibilistic regression; Algorithms |
顯示於: | 資訊管理學系 |
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