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Fuzzy turnover rate chance constraints portfolio model

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Fuzzy turnover rate chance constraints portfolio model. / Barak, Sasan.

In: European Journal of Operational Research, Vol. 228, No. 1, 01.07.2013, p. 141-147.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Barak, S 2013, 'Fuzzy turnover rate chance constraints portfolio model', European Journal of Operational Research, vol. 228, no. 1, pp. 141-147. https://doi.org/10.1016/j.ejor.2013.01.036

APA

Barak, S. (2013). Fuzzy turnover rate chance constraints portfolio model. European Journal of Operational Research, 228(1), 141-147. https://doi.org/10.1016/j.ejor.2013.01.036

Vancouver

Barak S. Fuzzy turnover rate chance constraints portfolio model. European Journal of Operational Research. 2013 Jul 1;228(1):141-147. https://doi.org/10.1016/j.ejor.2013.01.036

Author

Barak, Sasan. / Fuzzy turnover rate chance constraints portfolio model. In: European Journal of Operational Research. 2013 ; Vol. 228, No. 1. pp. 141-147.

Bibtex

@article{355103ff473544aa8da5e1407d037455,
title = "Fuzzy turnover rate chance constraints portfolio model",
abstract = "One concern of many investors is to own the assets which can be liquidated easily. Thus, in this paper, we incorporate portfolio liquidity in our proposed model. Liquidity is measured by an index called turnover rate. Since the return of an asset is uncertain, we present it as a trapezoidal fuzzy number and its turnover rate is measured by fuzzy credibility theory. The desired portfolio turnover rate is controlled through a fuzzy chance constraint. Furthermore, to manage the portfolios with asymmetric investment return, other than mean and variance, we also utilize the third central moment, the skewness of portfolio return. In fact, we propose a fuzzy portfolio mean–variance–skewness model with cardinality constraint which combines assets limitations with liquidity requirement. To solve the model, we also develop a hybrid algorithm which is the combination of cardinality constraint, genetic algorithm, and fuzzy simulation, called FCTPM.",
author = "Sasan Barak",
year = "2013",
month = jul,
day = "1",
doi = "10.1016/j.ejor.2013.01.036",
language = "English",
volume = "228",
pages = "141--147",
journal = "European Journal of Operational Research",
issn = "0377-2217",
publisher = "Elsevier Science B.V.",
number = "1",

}

RIS

TY - JOUR

T1 - Fuzzy turnover rate chance constraints portfolio model

AU - Barak, Sasan

PY - 2013/7/1

Y1 - 2013/7/1

N2 - One concern of many investors is to own the assets which can be liquidated easily. Thus, in this paper, we incorporate portfolio liquidity in our proposed model. Liquidity is measured by an index called turnover rate. Since the return of an asset is uncertain, we present it as a trapezoidal fuzzy number and its turnover rate is measured by fuzzy credibility theory. The desired portfolio turnover rate is controlled through a fuzzy chance constraint. Furthermore, to manage the portfolios with asymmetric investment return, other than mean and variance, we also utilize the third central moment, the skewness of portfolio return. In fact, we propose a fuzzy portfolio mean–variance–skewness model with cardinality constraint which combines assets limitations with liquidity requirement. To solve the model, we also develop a hybrid algorithm which is the combination of cardinality constraint, genetic algorithm, and fuzzy simulation, called FCTPM.

AB - One concern of many investors is to own the assets which can be liquidated easily. Thus, in this paper, we incorporate portfolio liquidity in our proposed model. Liquidity is measured by an index called turnover rate. Since the return of an asset is uncertain, we present it as a trapezoidal fuzzy number and its turnover rate is measured by fuzzy credibility theory. The desired portfolio turnover rate is controlled through a fuzzy chance constraint. Furthermore, to manage the portfolios with asymmetric investment return, other than mean and variance, we also utilize the third central moment, the skewness of portfolio return. In fact, we propose a fuzzy portfolio mean–variance–skewness model with cardinality constraint which combines assets limitations with liquidity requirement. To solve the model, we also develop a hybrid algorithm which is the combination of cardinality constraint, genetic algorithm, and fuzzy simulation, called FCTPM.

U2 - 10.1016/j.ejor.2013.01.036

DO - 10.1016/j.ejor.2013.01.036

M3 - Journal article

VL - 228

SP - 141

EP - 147

JO - European Journal of Operational Research

JF - European Journal of Operational Research

SN - 0377-2217

IS - 1

ER -