期刊論文

學年 111
學期 1
出版（發表）日期 2023-01-01
作品名稱 Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates
作品名稱（其他語言）
著者 Chen, K.-S.; Ruey-Chyn Tsaur*; Lin, N.-C.
單位
出版者
著錄名稱、卷期、頁數 Mathematics, 11( 1), 44
摘要 Portfolio selection is a major topic for investors to allocate their assets and maximize their profit under constrained risk. For uncertain investment behavior in a vagueness environment, some researchers have devoted themselves to this field of fuzzy portfolio models for portfolio selection. Especially, Tsaur, Chiu and Huang in 2021 defined guaranteed return rates to excess investment for securities whose return rates are bigger than the guaranteed return rates in the fuzzy portfolio selection. However, an independent investor has original ideas in investment, and thus we need to consider more types of risk attitudes for an investor’s portfolio selection when the guaranteed return rates are used to excess investment. To manage the excess investment by the risk preference, a new concept of s dimensions of excess investment is introduced to perceive the risk attitude of an investor for portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model. This example shows that the higher dimensions of excess investment derive lower expected return rates with lower constrained risk than that of dimension s = 1; and we suggest lower risk preference should select a higher dimension of excess investment. Then, the dimension of excess investment s = 2 can be applied for portfolio selection when the risk preference is lower.
關鍵字 fuzzy portfolio model; dimension of excess investment; guaranteed return rate; risk preference
語言 en
ISSN 2227-7390
期刊性質 國外
收錄於 SCI
產學合作
通訊作者 Ruey-Chyn Tsaur
審稿制度 否
國別 CHE
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125624 )