Model of a minimal risk portfolio under hybrid uncertainty

• Autorzy: Yazenin Alexander V. , Soldatenko Ilia S.
• Języki publikacji: EN

Abstrakty

EN

The article is devoted to the development and study of a model of a minimal risk portfolio under conditions of hybrid uncertainty of possibilistic-probabilistic type. In this model, the interaction of fuzzy parameters is described by both the strongest and the weakest triangular norms. The formula for variance of a portfolio is given that allows for estimating its risk. Models of acceptable portfolios are based on the principle of expected possibility or on the basis of fulfilling the restriction on the possibility/necessity and probability of the level of portfolio return that is acceptable to an investor. Equivalent deterministic analogues of the models are constructed and their solution methods are developed. Theorems describing a set of investment opportunities are proven. The obtained results are demonstrated on a model example.

Słowa kluczowe

EN

minimum risk portfolio; hybrid uncertainty; possibility; necessity; strongest t-norm; weakest t-norm; fuzzy random variable

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2021
• Tom: Vol. 50, No. 2
• Strony: 315--333
• Opis fizyczny: Bibliogr. 20 poz.

Twórcy

autor

Yazenin Alexander V.

• Tver State University, Zhelyabova 33, Tver, Russia

autor

Soldatenko Ilia S.

• Tver State University, Zhelyabova 33, Tver, Russia

Bibliografia

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