This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper...This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.展开更多
In this paper, based on existing results, decision making about portfolio investment schemes is discussed, ordering method of fuzzy numbers of interval value is shown, corresponding auxiliary models are established an...In this paper, based on existing results, decision making about portfolio investment schemes is discussed, ordering method of fuzzy numbers of interval value is shown, corresponding auxiliary models are established and solutions are provided with theories of fuzzy mathematics, optimization theory and numerical calculation, etc. Then it applies software programming to solve the portfolio investment situation between investors in savings and four securities according to the established models. The result shows that investors can choose the risk coefficient that they can bear to reach the maximum value of expected returns. The greater the risk coefficient, the greater the income, the smaller the risk coefficient and the smaller the income. Investors can determine their own portfolio strategy according to their own conditions in order to meet their own interests.展开更多
The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;i...The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method.展开更多
To solve the problem of investment portfolio with single goal of maximal NPV, a 0- 1 programming model was proposed and proved effective; and to solve that concerning more elements of a project such as risk level and ...To solve the problem of investment portfolio with single goal of maximal NPV, a 0- 1 programming model was proposed and proved effective; and to solve that concerning more elements of a project such as risk level and social benefit, a goal programming model is then introduced. The latter is a linear programming model adopting slack variable called deviation variable to turn inequation constraint into equation constraint, introducing a priority factor to denote different importance of the goals. A case study has demonstrated that this goal programming model can give different results according to different priority requirement of each objective.展开更多
The article gives readers the main regulations of elaboration of capital actives evaluating model(CAPM)theory,topics of its practical usage,common ways of definition of investments(securities)optimal portfolio and on ...The article gives readers the main regulations of elaboration of capital actives evaluating model(CAPM)theory,topics of its practical usage,common ways of definition of investments(securities)optimal portfolio and on the basis of CAPM theory it is discussed evaluating methods of investing business,and it is highlighted two criteria of portfolio chosen by an investor—profit and risk.Besides,it is discussed modern modification of the mentioned model on the point of time horizon,a problem of time factor measurement while evaluating risk and profit,also evaluation of investing effectivity by using sharp coefficient.The work presents and evaluates possible income of securities and possibilities of risks in a modern way,which is characteristic only for CAPM model and it is considered to be its positive side.展开更多
This paper is a revised and expanded version of a paper entitled “The static and dynamic criteria of building an investment asset portfolio” presented at International Conference on Applied Economics (ICOAE, 2014), ...This paper is a revised and expanded version of a paper entitled “The static and dynamic criteria of building an investment asset portfolio” presented at International Conference on Applied Economics (ICOAE, 2014), Chania, 3-5 July 2014 and published at Procedia Economics and Finance, Volume 14, Pages 575-584 (2014) [1]. At the previous research, it showed the significance to go beyond the scope of selecting one or another metric of static efficiency. And the attention was paid to the dynamic efficiency criteria. The ICOAE 2015 research gives brief results of that work, which is only one of applied areas of polydimensional efficiency measurement model (PEMM). Research work on PEMM conceptual and methodical elaboration has been started in the author’s dissertation study [2] and continued in the practical activity and materialized in Innovative LLC (limited liability company) creating project. The research is concentrating on the real economic benefit of 3D PEMM (thee criterial PEMM version) implementation. In the first part of ICOAE 2015 empirical study, the dynamic component of 3D PEMM on the industrial level was tested. Next, the company economic profit changes and dynamic-market 3D PEMM components correlation was estimated. Finally, the economic benefit of 3D PEMM functional operationalization in the framework of management systems development was calculated.展开更多
This paper mainly studies how investors invest in funds to obtain high returns while avoiding risks.Firstly,from the perspective of portfolio investment,this paper introduces the traditional Markowitz mean-variance mo...This paper mainly studies how investors invest in funds to obtain high returns while avoiding risks.Firstly,from the perspective of portfolio investment,this paper introduces the traditional Markowitz mean-variance model and capital asset pricing model(CAPM),then selects four funds from different industries by MATLAB program in Sina Finance and Economics Network for application analysis from which the optimal portfolio point can be obtained under the combination of efficient frontier and capital allocation line.Subsequently,by analyzing the returns of long-term holdings and short-term operations of Noan Growth Hybrid Fund,it is confirmed that long-term holding funds can better cope with the changing market so as to obtain more stable returns.Finally,this paper discusses the dynamic adjustments of asset portfolio.Resident investors are supposed to take into account the market situation and the changes of the fund itself to adjust the holding fund portfolio.Based on the research in this paper,resident investors ought to combine investment funds to diversify risk allocation and make long-term holding plans according to their risk tolerance.At the same time,they should also make appropriate dynamic adjustments when the external environment changes to ensure long-term benefits.展开更多
The theory of investment portfolio is a very important theory in the modern economical system. Based on the feature of the theory, the paper sets up new various kinds of models of investment portfolio, namely grey opt...The theory of investment portfolio is a very important theory in the modern economical system. Based on the feature of the theory, the paper sets up new various kinds of models of investment portfolio, namely grey optimization models. These models are more practical and objective to existing problems.展开更多
Non-parametric methods are treasured in data analysis,particularly in finance.ST-metric is a new concept,introduced by Tulunay(2017).It offers non-parametric methods and a new geometric view to data analysis.In that p...Non-parametric methods are treasured in data analysis,particularly in finance.ST-metric is a new concept,introduced by Tulunay(2017).It offers non-parametric methods and a new geometric view to data analysis.In that paper,ST-metric concept has been applied to performance measures of portfolios.In this current paper,we purpose another ST-metric method for finding factor exposures in the five-style-factors model.Here the style factors are value,size,minimum volatility,quality and momentum.The main idea is to find the factor exposures(weights)of the five-factors-model by minimizing the ST-metric between benchmark returns and the constructed factor model returns.We compare ST-metric method with Tracking Error method(TE-method)which is used for factor analysis of major indexes,decomposed into the style factors(tradable via Exchange Traded Funds(ETFs))by Ang et al.(2018).We show that ST-metric method gives better estimation of the factor exposures(weights)than tracking error method,in general,and further how ST-metric values vary with respect to fluctuations.This explains the reason behind the efficiency of the ST-metric method.We support this idea with empirical evidences.展开更多
基金Supported by the Key Project of Science and Technology Department of Henan Province(122102210060)
文摘This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.
文摘In this paper, based on existing results, decision making about portfolio investment schemes is discussed, ordering method of fuzzy numbers of interval value is shown, corresponding auxiliary models are established and solutions are provided with theories of fuzzy mathematics, optimization theory and numerical calculation, etc. Then it applies software programming to solve the portfolio investment situation between investors in savings and four securities according to the established models. The result shows that investors can choose the risk coefficient that they can bear to reach the maximum value of expected returns. The greater the risk coefficient, the greater the income, the smaller the risk coefficient and the smaller the income. Investors can determine their own portfolio strategy according to their own conditions in order to meet their own interests.
基金supported by the National Natural Science Foundation of China (7190121471690233)。
文摘The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method.
基金Funded by the Foundation of Science Committee of Chongqing (No.2000- 6071)
文摘To solve the problem of investment portfolio with single goal of maximal NPV, a 0- 1 programming model was proposed and proved effective; and to solve that concerning more elements of a project such as risk level and social benefit, a goal programming model is then introduced. The latter is a linear programming model adopting slack variable called deviation variable to turn inequation constraint into equation constraint, introducing a priority factor to denote different importance of the goals. A case study has demonstrated that this goal programming model can give different results according to different priority requirement of each objective.
文摘The article gives readers the main regulations of elaboration of capital actives evaluating model(CAPM)theory,topics of its practical usage,common ways of definition of investments(securities)optimal portfolio and on the basis of CAPM theory it is discussed evaluating methods of investing business,and it is highlighted two criteria of portfolio chosen by an investor—profit and risk.Besides,it is discussed modern modification of the mentioned model on the point of time horizon,a problem of time factor measurement while evaluating risk and profit,also evaluation of investing effectivity by using sharp coefficient.The work presents and evaluates possible income of securities and possibilities of risks in a modern way,which is characteristic only for CAPM model and it is considered to be its positive side.
文摘This paper is a revised and expanded version of a paper entitled “The static and dynamic criteria of building an investment asset portfolio” presented at International Conference on Applied Economics (ICOAE, 2014), Chania, 3-5 July 2014 and published at Procedia Economics and Finance, Volume 14, Pages 575-584 (2014) [1]. At the previous research, it showed the significance to go beyond the scope of selecting one or another metric of static efficiency. And the attention was paid to the dynamic efficiency criteria. The ICOAE 2015 research gives brief results of that work, which is only one of applied areas of polydimensional efficiency measurement model (PEMM). Research work on PEMM conceptual and methodical elaboration has been started in the author’s dissertation study [2] and continued in the practical activity and materialized in Innovative LLC (limited liability company) creating project. The research is concentrating on the real economic benefit of 3D PEMM (thee criterial PEMM version) implementation. In the first part of ICOAE 2015 empirical study, the dynamic component of 3D PEMM on the industrial level was tested. Next, the company economic profit changes and dynamic-market 3D PEMM components correlation was estimated. Finally, the economic benefit of 3D PEMM functional operationalization in the framework of management systems development was calculated.
基金Supported by the Ministry of Education Humanities and Social Sciences Research Youth Fund Project(No.17YJC790172)Yunnan Province Philosophy and Social Sciences Project(No.QN2017006).
文摘This paper mainly studies how investors invest in funds to obtain high returns while avoiding risks.Firstly,from the perspective of portfolio investment,this paper introduces the traditional Markowitz mean-variance model and capital asset pricing model(CAPM),then selects four funds from different industries by MATLAB program in Sina Finance and Economics Network for application analysis from which the optimal portfolio point can be obtained under the combination of efficient frontier and capital allocation line.Subsequently,by analyzing the returns of long-term holdings and short-term operations of Noan Growth Hybrid Fund,it is confirmed that long-term holding funds can better cope with the changing market so as to obtain more stable returns.Finally,this paper discusses the dynamic adjustments of asset portfolio.Resident investors are supposed to take into account the market situation and the changes of the fund itself to adjust the holding fund portfolio.Based on the research in this paper,resident investors ought to combine investment funds to diversify risk allocation and make long-term holding plans according to their risk tolerance.At the same time,they should also make appropriate dynamic adjustments when the external environment changes to ensure long-term benefits.
基金This project is supported by National Natural Science Foundation of China (No. 19871009)
文摘The theory of investment portfolio is a very important theory in the modern economical system. Based on the feature of the theory, the paper sets up new various kinds of models of investment portfolio, namely grey optimization models. These models are more practical and objective to existing problems.
文摘Non-parametric methods are treasured in data analysis,particularly in finance.ST-metric is a new concept,introduced by Tulunay(2017).It offers non-parametric methods and a new geometric view to data analysis.In that paper,ST-metric concept has been applied to performance measures of portfolios.In this current paper,we purpose another ST-metric method for finding factor exposures in the five-style-factors model.Here the style factors are value,size,minimum volatility,quality and momentum.The main idea is to find the factor exposures(weights)of the five-factors-model by minimizing the ST-metric between benchmark returns and the constructed factor model returns.We compare ST-metric method with Tracking Error method(TE-method)which is used for factor analysis of major indexes,decomposed into the style factors(tradable via Exchange Traded Funds(ETFs))by Ang et al.(2018).We show that ST-metric method gives better estimation of the factor exposures(weights)than tracking error method,in general,and further how ST-metric values vary with respect to fluctuations.This explains the reason behind the efficiency of the ST-metric method.We support this idea with empirical evidences.
