On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

• Autorzy: Rogonov Stepan A. , Soldatenko Ilia S. , Yazenin Alexander V.

Identyfikatory

DOI

10.2478/candc-2022-0024

• Języki publikacji: EN

Abstrakty

EN

The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short sales. Investor’s acceptable level of expected return is defined in crisp and fuzzy forms. Obtained results are illustrated on a model example. The dependence of the quasi-efficient frontier on the value of α-level is investigated.

Słowa kluczowe

EN

portfolio selection model; hybrid uncertainty; possibility; necessity; quasi-efficient solutions; minimum risk portfolio frontier; fuzzy random variable

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2022
• Tom: Vol. 51, No. 4
• Strony: 445--466
• Opis fizyczny: Bibliogr. 31 poz., rys., tab.

Twórcy

autor

Rogonov Stepan A.

• Tver State University, Zhelyabova str. 33, Tver, Russia

autor

Soldatenko Ilia S.

• Tver State University, Zhelyabova str. 33, Tver, Russia

autor

Yazenin Alexander V.

• Tver State University, Zhelyabova str. 33, Tver, Russia

Bibliografia

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