Wyniki wyszukiwania - BazTech

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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

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2022

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Vol. 51, No. 4

445--466

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.

2

Failure-based sealing reliability analysis considering dynamic interval and hybrid uncertainties

Sun Bo, Yang Xi, Ren Yi, Wang Zili, Antosz Katarzyna, Loska Andrzej, Jasiulewicz-Kaczmarek Małgorzata

Eksploatacja i Niezawodność

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2021

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Vol. 23, no. 2

278--284

EN

In the reliability analysis of a sealing structure, radial clearance of the contact surface is usually regarded as a failure criterion, and the sample size is usually quite small, which brings great challenges to uncertainty quantification. Therefore, this paper proposes a reliability analysis method based on the leakage mechanism of the sealing. With the application of dynamic interval, the proposed method can be used to deal with problem of degradation in small sample to evaluate reliability. Moreover, the dynamic reliability with the mixture of the probabilistic and non-probabilistic variables can be obtained using the proposed method. An illustrative numerical case study of a spool valve is conducted in order to validate the proposed method and the implemented reliability sensitivity analysis. The proposed method is of great help in evaluating and predicting reliability with small degradation sample and hybrid uncertainties.

3

Model of a minimal risk portfolio under hybrid uncertainty

Yazenin Alexander V., Soldatenko Ilia S.

Control and Cybernetics

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2021

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Vol. 50, No. 2

315--333

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.

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New method of selecting efficient project portfolios in the presence of hybrid uncertainty

Rębiasz B.

Operations Research and Decisions

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2016

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Vol. 26, No. 4

65--90

EN

A new methods of selecting efficient project portfolios in the presence of hybrid uncertainty has been presented. Pareto optimal solutions have been defined by an algorithm for generating project portfolios. The method presented allows us to select efficient project portfolios taking into account statistical and economic dependencies between projects when some of the parameters used in the calculation of effectiveness can be expressed in the form of an interactive possibility distribution and some in the form of a probability distribution. The procedure for processing such hybrid data combines stochastic simulation with nonlinear programming. The interaction between data are modeled by correlation matrices and the interval regression. Economic dependences are taken into account by the equations balancing the production capacity of the company. The practical example presented indicates that an interaction between projects has a significant impact on the results of calculations.