Selecting The Optimal Multi-Period Stock Portfolio with Different Time Horizons in the Credibility Theory Framework

Subject Areas : Financial Mathematics

Younes Nozarpour ¹ , Sayyed Mohammad Reza Davoodi ² , Mahdi Fadaee ³

1 - Department of Financial Orientation, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran
2 - Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran
3 - Department of Economics, Payame Noor University, Iran

Received: 2022-02-25 Accepted : 2022-06-08 Published : 2023-07-01

Keywords:

References:

[1] Ansari, H., Behzadi, A., Imam Doust, M., Selection of fuzzy stock portfolio using hybrid intelligent algorithm taking into account undesirable risk, Investment Knowledge, 1398, 8(30), P.329-354.

[2] Carlsson, C., Fullér, R., On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems, 2001, 122(2), P.315–326.

[3] Farrokh, M., Fuzzy stock portfolio selection with simultaneous review of undesirable returns and risk, Recent Research in Decision Making, 2021, 6(2), P.1-18.

[4] Guo, S.N., Yu, L. A., Skewness of fuzzy numbers and its applications in portfolio selection, IEEE Transactions on Fuzzy Systems, 2015, 23(6), P.2135–2143. Doi: 10.1109/TFUZZ.2015.2404340.

[5] Guo, S.N., Yu, L.A., Kar, S., Fuzzy multi-period portfolio selection with different investment horizons, European Journal of Operational Research, 2016, 254(3), P.1-10. Doi: 10.1016/j.ejor.2016.04.055.

[6] Gupta, P., Mehlawat, M.K., Yadav. D., Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models, Soft Comput, 2020, 24, P.11931–11956. Doi: 10.1007/s00500-019-04639-3.

[7] Huang, X.X., Mean-entropy models for fuzzy portfolio selection, IEEE Transaction on Fuzzy Systems, 2008, 16(4), P.1096–1101. Doi: 10.1109/TFUZZ.2008.924200.

[8] Kar, S., Bhattacharyya, R., 2011, Possibilistic mean-variance-skewness portfolio selection models, International Journal of Operations Research, 8, P.44–56.

[9] Li, X., Credibilistic programming, New York: Springer, 2013.

[10] Li, X., Shou, B. Y., Qin, Z. F., An expected regret minimization portfolio selection model, European Journal of Operational Research, 2012, 218(2), P.484–492. Doi: 10.1016/j.ejor.2011.11.015.

[11] Li, X., Wang, Y., Yan, Q., Zhao, X., Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility, Fuzzy optimization and decision making, 2019, 18(1), P.37-56.

[12] Liu, B., Uncertainty Theory, second ed., Springer-Verlag, Berlin, 2007.

[13] Liu, B., Liu, Y. K., Expected value of fuzzy variable and fuzzy expected value models, IEEE Transactions on Fuzzy Systems, 2002, 10(4), P.445–450. Doi: 10.1109/TFUZZ.2002.800692.

[14] Liu, Y. J., Zhang, W. G., Multiperiod fuzzy portfolio selection optimization model based on possibility theory. International Journal of Information Technology and Decision Making, 2019, 17(03), P.941-968.

[15] Liu, Y. J., Zhang, W. G., A multi-period fuzzy portfolio optimization model with minimum transaction lots. European Journal of Operational Research, 2015, 242, P.933-941. Doi: 10.1016/j.ejor.2014.10.061.

[16] Liu, Y. J., Zhang, W. G., Xu, W. J., Fuzzy multi-period portfolio selection optimization models using multiple criteria. Automatica, 2012, 48(12), P.3042–3053. Doi: 10.1016/j.automatica.2012.08.036.

[17] Markowitz, H., Portfolio selection. Journal of Finance,1952, 3, P.77–91. Doi: 10.2307/2975974

[18] Nouri, M., Mohammadi, O., Fuzzy Multi-Period Portfolio Optimization: Capital-Risk-Liquidity Model, 16th International Conference on Industrial Engineering, Tehran. 2019. (in Persian)

[19] Izadikhah, M., A Fuzzy Goal Programming Based Procedure for Machine Tool Selection, 2015, 28(1), P. 361-372, Doi: 10.3233/IFS-141311

[20] Oprisor, R., Kwon, R., Multi-period portfolio optimization with investor views under regime switching, Journal of Risk and Financial Management, 2020, 14(1), 3.

[21] Peykani, P., Nouri, M., Eshghi, F., A novel mathematical approach for fuzzy multi-period multi-objective portfolio optimization problem under uncertain environment and practical constraints, Journal of fuzzy extension and application, 2021, 2(3), P.191-203.

[22] Qin, Z. F., Kar, S., Mean-variance-skewness model for portfolio selection with fuzzy returns, European Journal of Operational Research, 2010, 202(1), P.239-247. Doi: 10.1016/j.camwa.2010.10.039.

[23] Qin, Z. F., Li, X., Ji, X. Y., Portfolio selection based on fuzzy cross-entrop, Journal of Computational and Applied Mathematics, 2009, 228, P.139–149. Doi: 10.1016/j.cam.2008.09.010.

[24] Rezaei, B., Mohammadi, S., Rastegar, B., Multi-period portfolio optimization using risk-based measurement in the framework of GJR GARCH-EVT-copula method, the first national conference on optimization of production and service systems, 2020.

[25] Shiri Ghahi, A., Dideh Khani, H., Khalili Damghani, K., Saidi Comparative study of multi-objective multi-period portfolio optimization model in fuzzy credit environment with different risk criteria, Financial management strategy, 2017, 5(3), P.1-26. (in Persian).

[26] Vercher, E., Bermudez, J. D., Portfolio optimization using a credibility mean-absolute semi-deviation model, Expert Systems with Applications, 2015, 42, P.7121-7131.

[26] Xue, L., Di, H., Zhao, X., Zhang, Z., Uncertain portfolio selection with mental accounts and realistic constraints, Journal of computational and applied mathematics, 2019, 346, P.42-52.

[27] Yong-Jun L., Zhang. W-G., Fuzzy multi-period portfolio selection model with time-varying loss aversion, Journal of the Operational Research Society, 2020, 14, P.1-15. Doi: 10.1080/01605682.2019.1705191.

[28] Zadeh, L. A., Fuzzy sets as a basis for a theory of possibility, Fuzzy Sets and Systems,1978, 1, P.3–28.

 Doi: 10.1016/S0165-0114(99)80004-9.

[29] Zhang, B., Peng, J., Li, S., Uncertain programming models for portfolio selection with uncertain returns, International journal of systems science, 2015, 46(14), P.2510-2519.

[30] Zhang, W. G., Nie, Z. K., On possibilistic variance of fuzzy numbers, Lecture Notes in Artificial Intelligence, 2003, 2639, P.398–402.

[31] Zhang, W. G., Zhang, X. L., Xiao, W. L., Portfolio selection under possibilistic mean-variance utility and a SMO algorithm, European Journal of Operational Research, 2009, 197(2), P.693-700.

[32] Zhu, Y., Uncertain optimal control with application to a portfolio selection model, Cybernetics and systems: an international journal, 2010, 41(7), P.535-547.

[35] Zamani, S., Zanjirdar, M., Lalbar, A., The effect of information disclosure on market reaction with meta-analysis approach, Advances in Mathematical Finance and Applications, 2022, 7(3), P. 629-644.

Doi: 10.22034/amfa.2021.1937478.1625

 

[36] Zanjirdar, M., Overview of Portfolio Optimization Models, Advances in Mathematical Finance and Applications, 2020. 5(4), P.419-435. Doi: 10.22034/amfa.2020.674941.

 

[37] Zanjirdar, M., Kasbi, P., Madahi, Z., Investigating the effect of adjusted DuPont ratio and its components
on investor & quot; s decisions in short and long term, Management Science Letters, 2014, 4(3), P.591-596.
Doi: 10.5267/j.msl.2014.1.003