Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations

被引:42
作者
Huang, Xiaoxia [1 ]
Ying, Haiyao [1 ]
机构
[1] Univ Sci & Technol Beijing, Dangling Sch Econ & Management, Beijing 100083, Peoples R China
基金
中国国家自然科学基金;
关键词
Portfolio selection; Portfolio adjusting; Risk index; Uncertain programming; Minimum transaction lots; Capital bounded; VALUE-AT-RISK; OPTIMIZATION; VARIANCE;
D O I
10.1016/j.econmod.2012.09.032
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper discusses a portfolio adjusting problem with additional risk assets and a riskless asset in the situation where security returns are given by experts' evaluations rather than historical data. Uncertain variables are employed to describe the security returns. Using expected value and risk index as measurements of portfolio return and risk respectively, we propose two portfolio optimization models for an existing portfolio in two cases, taking minimum transaction lot, transaction cost, and lower and upper bound constraints into account. In one case the riskless asset can be both borrowed and lent freely, and in another case the riskless asset can only be lent and the borrowing of riskless asset is not allowed. The adjusting models are converted into their crisp equivalents, enabling the users to solve them with currently available programming solvers. For the sake of illustration, numerical examples in two cases are also provided. The results show that under the same predetermined maximum tolerable risk level the expected return of the optimal portfolio is smaller when the riskless asset can only be lent than when the riskless asset can be both borrowed and lent freely. (c) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码:61 / 66
页数:6
相关论文
共 28 条
[1]  
[Anonymous], 2010, Portfolio analysis: from probabilistic to credibilistic and uncertain approaches
[2]  
Artzner Ph., 1997, RISK, V10, P68
[3]   Evaluating Value-at-Risk Models with Desk-Level Data [J].
Berkowitz, Jeremy ;
Christoffersen, Peter ;
Pelletier, Denis .
MANAGEMENT SCIENCE, 2011, 57 (12) :2213-2227
[4]   A note on truth value in uncertain logic [J].
Chen, Xiaowei ;
Ralescu, Dan A. .
EXPERT SYSTEMS WITH APPLICATIONS, 2011, 38 (12) :15582-15586
[5]   A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms [J].
DeMiguel, Victor ;
Garlappi, Lorenzo ;
Nogales, Francisco J. ;
Uppal, Raman .
MANAGEMENT SCIENCE, 2009, 55 (05) :798-812
[6]   ON LIU'S INFERENCE RULE FOR UNCERTAIN SYSTEMS [J].
Gao, Xin ;
Gao, Yuan ;
Ralescu, Dan A. .
INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS, 2010, 18 (01) :1-11
[7]   Shortest path problem with uncertain arc lengths [J].
Gao, Yuan .
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2011, 62 (06) :2591-2600
[8]   Variance vs downside risk: Is there really that much difference? [J].
Grootveld, H ;
Hallerbach, W .
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1999, 114 (02) :304-319
[9]   Simulating Sensitivities of Conditional Value at Risk [J].
Hong, L. Jeff ;
Liu, Guangwu .
MANAGEMENT SCIENCE, 2009, 55 (02) :281-293
[10]  
Huang X., 2011, FUZZY OPTIM DECIS MA, V13, P9