IDEAS home Printed from https://ideas.repec.org/a/gam/jmathe/v11y2023i5p1143-d1079904.html
   My bibliography  Save this article

Fuzzy Portfolio Selection in the Risk Attitudes of Dimension Analysis under the Adjustable Security Proportions

Author

Listed:
  • Kuen-Suan Chen

    (Department of Industrial Engineering and Management, National Chin-Yi University of Technology, Taichung 411030, Taiwan
    Department of Business Administration, Chaoyang University of Technology, Taichung 413310, Taiwan
    Department of Business Administration, Asia University, Taichung 413305, Taiwan)

  • Yin-Yin Huang

    (School of Economics and Management, Nanchang Vocational University, 308 Provincial Road, Anyi County, Nanchang 330500, China)

  • Ruey-Chyn Tsaur

    (Department of Management Sciences, Tamkang University, New Taipei City 25137, Taiwan)

  • Nei-Yu Lin

    (Department of Management Sciences, Tamkang University, New Taipei City 25137, Taiwan)

Abstract

Fuzzy portfolio models have received many researchers’ focus on the issue of risk preferences. The portfolio based on guaranteed return rates has been developing and considering the dimension of excess investment for the investors in different risk preferences. However, not only excess investment but also shortage investment to the selected portfolio should be considered for risk preferences, including risk-seeking, risk-neutral, and risk-averse, by different degrees of dimensions in excess investment and shortage investment. A comparison to the degree of dimensions for the excess investment and shortage investment indicates that a risk-seeker would like to have excess investment for securities whose return rates are bigger than the guaranteed return rates and shortage investment for securities whose return rates are smaller than the guaranteed return rates. Finally, we present three experiments to illustrate the proposed model. The results show that the different risk preferences derive different fuzzy portfolio selections under s and t dimensions, where a lower value of s is suggested for a risk-seeker as t > s , and we suggest the values of s and t to be smaller than or equal to 3. By contrast, for the risk-neutral investor, we suggest s = t ; t < s is suggested to the investor who is risk-averse.

Suggested Citation

  • Kuen-Suan Chen & Yin-Yin Huang & Ruey-Chyn Tsaur & Nei-Yu Lin, 2023. "Fuzzy Portfolio Selection in the Risk Attitudes of Dimension Analysis under the Adjustable Security Proportions," Mathematics, MDPI, vol. 11(5), pages 1-16, February.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:5:p:1143-:d:1079904
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7390/11/5/1143/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7390/11/5/1143/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Michael J. Best & Jaroslava Hlouskova, 2000. "The efficient frontier for bounded assets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 52(2), pages 195-212, November.
    2. Yue, Wei & Wang, Yuping, 2017. "A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 124-140.
    3. Yin-Yin Huang & I-Fei Chen & Chien-Liang Chiu & Ruey-Chyn Tsaur, 2021. "Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates," Mathematics, MDPI, vol. 9(23), pages 1-18, November.
    4. Jong-Shi Pang, 1980. "A New and Efficient Algorithm for a Class of Portfolio Selection Problems," Operations Research, INFORMS, vol. 28(3-part-ii), pages 754-767, June.
    5. Best, Michael J. & Grauer, Robert R., 1990. "The efficient set mathematics when mean-variance problems are subject to general linear constraints," Journal of Economics and Business, Elsevier, vol. 42(2), pages 105-120, May.
    6. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
    7. Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
    8. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1851-1872, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kuen-Suan Chen & Ruey-Chyn Tsaur & Nei-Chih Lin, 2022. "Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates," Mathematics, MDPI, vol. 11(1), pages 1-13, December.
    2. Tsaur, Ruey-Chyn, 2013. "Fuzzy portfolio model with different investor risk attitudes," European Journal of Operational Research, Elsevier, vol. 227(2), pages 385-390.
    3. Ruey-Chyn Tsaur, 2015. "Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(3), pages 438-450, February.
    4. Yin-Yin Huang & Ruey-Chyn Tsaur & Nei-Chin Huang, 2022. "Sustainable Fuzzy Portfolio Selection Concerning Multi-Objective Risk Attitudes in Group Decision," Mathematics, MDPI, vol. 10(18), pages 1-15, September.
    5. Zhang, Wei-Guo & Wang, Ying-Luo, 2008. "An analytic derivation of admissible efficient frontier with borrowing," European Journal of Operational Research, Elsevier, vol. 184(1), pages 229-243, January.
    6. Chen, Wei & Zhang, Wei-Guo, 2010. "The admissible portfolio selection problem with transaction costs and an improved PSO algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2070-2076.
    7. Zhang, Wei-Guo & Zhang, Xi-Li & Xiao, Wei-Lin, 2009. "Portfolio selection under possibilistic mean-variance utility and a SMO algorithm," European Journal of Operational Research, Elsevier, vol. 197(2), pages 693-700, September.
    8. Michael Best & Xili Zhang, 2012. "The Efficient Frontier for Weakly Correlated Assets," Computational Economics, Springer;Society for Computational Economics, vol. 40(4), pages 355-375, December.
    9. Ruey-Chyn Tsaur & Chien-Liang Chiu & Yin-Yin Huang, 2021. "Fuzzy Portfolio Selection in COVID-19 Spreading Period Using Fuzzy Goal Programming Model," Mathematics, MDPI, vol. 9(8), pages 1-15, April.
    10. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2015. "A fuzzy portfolio selection model with background risk," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 505-513.
    11. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2013. "Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment," Economic Modelling, Elsevier, vol. 31(C), pages 12-17.
    12. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
    13. Li, Bo & Zhang, Ranran, 2021. "A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    14. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    15. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
    16. Riccardo Lucchetti & Mihaela Nicolau & Giulio Palomba & Luca Riccetti, 2022. "Reconciling TEV and VaR in Active Portfolio Management: A New Frontier," Working Papers 461, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    17. Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
    18. Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
    19. Zhang, Wei-Guo & Xiao, Wei-Lin & Xu, Wei-Jun, 2010. "A possibilistic portfolio adjusting model with new added assets," Economic Modelling, Elsevier, vol. 27(1), pages 208-213, January.
    20. Guo, Sini & Yu, Lean & Li, Xiang & Kar, Samarjit, 2016. "Fuzzy multi-period portfolio selection with different investment horizons," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1026-1035.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:11:y:2023:i:5:p:1143-:d:1079904. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.