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E-raamat: Fuzzy Portfolio Optimization: Advances in Hybrid Multi-criteria Methodologies

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Fuzzy Portfolio Optimization: Advances in Hybrid Multi-criteria MethodologiesSuurem pilt
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This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical meanvariance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.





 
1 Portfolio Optimization: An Overview
1(32)
1.1 Mean-Variance Model
1(14)
1.2 Mean-Semivariance Model
15(6)
1.3 Mean-Absolute Deviation Model
21(7)
1.4 Mean-Semiabsolute Deviation Model
28(1)
1.5 Comparison of the Models
29(2)
1.6 Comments
31(2)
2 Portfolio Optimization with Interval Coefficients
33(28)
2.1 Interval Numbers and Interval Arithmetic
33(9)
2.2 Portfolio Selection Using Interval Numbers
42(6)
2.2.1 Assumptions and Notation
42(1)
2.2.2 Objective Functions
43(2)
2.2.3 Constraints
45(1)
2.2.4 The Decision Problem
46(2)
2.3 Solution Methodology
48(3)
2.4 Numerical Illustration
51(8)
2.5 Comments
59(2)
3 Portfolio Optimization in Fuzzy Environment
61(20)
3.1 Fuzzy Decision Theory
61(4)
3.2 Fuzzy Portfolio Selection Model
65(2)
3.3 Solution Methodology
67(2)
3.4 Numerical Illustration
69(10)
3.5 Comments
79(2)
4 Possibilistic Programming Approaches to Portfolio-Optimization
81(46)
4.1 Possibility Theory
81(8)
4.2 Portfolio Selection Using Non-interactive Coefficients
89(16)
4.2.1 Possibilistic Portfolio Selection Problem
89(2)
4.2.2 The Classical Possibilistic Programming Approaches
91(5)
4.2.3 Regret-Based Possibilistic Programming Approach
96(6)
4.2.4 Numerical Illustration
102(3)
4.3 Portfolio Selection Using Interactive Coefficients
105(19)
4.3.1 Scenario Decomposed Fuzzy Numbers
106(5)
4.3.2 Oblique Fuzzy Vector
111(4)
4.3.3 Fuzzy Polytope
115(3)
4.3.4 Numerical Illustration
118(6)
4.4 Comments
124(3)
5 Portfolio Optimization Using Credibility Theory
127(34)
5.1 Credibility Theory
127(16)
5.2 Portfolio Selection Based on Credibility Theory
143(2)
5.2.1 Notation
143(1)
5.2.2 Objective Functions
144(1)
5.2.3 Constraints
144(1)
5.2.4 The Decision Problem
145(1)
5.3 Solution Methodology
145(5)
5.3.1 First Phase: Crisp Equivalent Bi-objective Model
146(1)
5.3.2 Second Phase: Fuzzy Interactive Approach
147(3)
5.4 Numerical Illustration
150(10)
5.5 Comments
160(1)
6 Multi-criteria Fuzzy Portfolio Optimization
161(26)
6.1 Multi-criteria Portfolio Selection Model
161(5)
6.1.1 Notation
162(1)
6.1.2 Objective Functions
162(1)
6.1.3 Constraints
163(2)
6.1.4 The Decision Problem
165(1)
6.2 Fuzzy Multi-criteria Portfolio Selection Models and Solution Methodology
166(8)
6.3 Numerical Illustration
174(12)
6.4 Comments
186(1)
7 Suitability Considerations in Multi-criteria Fuzzy Portfolio Optimization-I
187(36)
7.1 Overview of AHP
187(2)
7.2 Suitability Considerations
189(3)
7.2.1 Investor Typology
189(3)
7.2.2 Modeling Suitability with the AHP
192(1)
7.3 Portfolio Selection Based on Suitability and Optimality
192(5)
7.3.1 Notation
193(1)
7.3.2 Objective Functions
194(1)
7.3.3 Constraints
195(1)
7.3.4 The Decision Problem
195(2)
7.4 Fuzzy Portfolio Selection Models Based on Suitability and Optimality
197(4)
7.5 Numerical Illustration
201(20)
7.5.1 Asset Clusters
201(3)
7.5.2 Calculation of AHP Weights
204(4)
7.5.3 Asset Allocation
208(13)
7.6 Comments
221(2)
8 Suitability Considerations in Multi-criteria Fuzzy Portfolio Optimization-II
223(32)
8.1 AHP Model for Suitability and Optimality Considerations
223(2)
8.2 Fuzzy Multiobjective Portfolio Selection Model
225(3)
8.2.1 Notation
226(1)
8.2.2 Objective Functions
226(1)
8.2.3 Constraints
227(1)
8.2.4 The Decision Problem
227(1)
8.3 Solution Methodology
228(3)
8.4 Numerical Illustration
231(22)
8.4.1 Calculation of AHP Weighted Scores
231(6)
8.4.2 Asset Allocation
237(16)
8.5 Comments
253(2)
9 Ethicality Considerations in Multi-criteria Fuzzy Portfolio Optimization
255(28)
9.1 Ethical Evaluation of Assets
255(7)
9.1.1 Ethical Screening of Assets
255(1)
9.1.2 Ethical Performance Scores
256(6)
9.2 Financial Evaluation of Assets
262(4)
9.3 Hybrid Portfolio Selection Models
266(3)
9.3.1 Notation
266(1)
9.3.2 Objective Function
266(1)
9.3.3 Constraints
266(2)
9.3.4 The Decision Problem
268(1)
9.4 Numerical Illustration
269(11)
9.4.1 Ethical Screening and Ethical Performance Scores
269(6)
9.4.2 Financial Performance Scores
275(2)
9.4.3 Asset Allocation
277(3)
9.5 Comments
280(3)
10 Multi-criteria Portfolio Optimization Using Support Vector Machines and Genetic Algorithms
283(28)
10.1 Overview of Support Vector Machines
283(5)
10.2 Multiobjective Portfolio Selection Model
288(3)
10.2.1 Notation
288(1)
10.2.2 Objective Functions
289(1)
10.2.3 Constraints
290(1)
10.2.4 The Decision Problem
291(1)
10.3 Numerical Illustration
291(18)
10.3.1 Asset Classes
291(1)
10.3.2 Classification of Assets Using SVM
292(4)
10.3.3 Real Coded GA to Solve Portfolio Selection Model
296(5)
10.3.4 Asset Allocation
301(8)
10.4 Comments
309(2)
References 311(8)
Index 319
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