Wyniki wyszukiwania - BazTech

Ograniczanie wyników

2 Control and Cybernetics

Powiadomienia systemowe

Sesja wygasła!

Znaleziono wyników: 2

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: fuzzy random variable

Sortuj według:

Ogranicz wyniki do:

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

Rogonov Stepan A., Soldatenko Ilia S., Yazenin Alexander V.

Control and Cybernetics

2022

Vol. 51, No. 4

445--466

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.

Model of a minimal risk portfolio under hybrid uncertainty

Yazenin Alexander V., Soldatenko Ilia S.

Control and Cybernetics

2021

Vol. 50, No. 2

315--333

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.