{"title":"Dynamic portfolio optimization with the MARCOS approach under uncertainty","authors":"","doi":"10.1016/j.irfa.2024.103565","DOIUrl":null,"url":null,"abstract":"<div><p>This paper introduces a dynamic portfolio selection approach that integrates the robustness of interval type-2 fuzzy sets (IT2FSs) with the flexibility of the MARCOS (Measurement of Alternatives and Ranking according to COmpromise Solution) method, offering a novel framework for asset evaluation amidst uncertainty. The IT2FSs enhance the adaptability of asset criteria representation, while the innovative application of MARCOS within the IT2FS environment refines the asset selection process. The weighted semi-absolute deviation metric is embraced to capture portfolio risk characteristic, which ingeniously harnesses the utility function values derived from the IT2F-MARCOS framework to delineate the anticipated return profile. On this basis, a dynamic bi-objective portfolio allocation model with realistic constraints and dynamic risk preference is formulated to rebalance portfolio periodically. Empirical evidence demonstrates the robustness and effectiveness of this approach compared to benchmark indexes, different allocation strategies, and the TOPSIS-based selection method, offering significant advancements in portfolio optimization for investors navigating uncertain markets. This study endeavors to contribute to the field of portfolio management, providing a thoughtful approach that enhances both theoretical understanding and practical application.</p></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5000,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924004976","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This paper introduces a dynamic portfolio selection approach that integrates the robustness of interval type-2 fuzzy sets (IT2FSs) with the flexibility of the MARCOS (Measurement of Alternatives and Ranking according to COmpromise Solution) method, offering a novel framework for asset evaluation amidst uncertainty. The IT2FSs enhance the adaptability of asset criteria representation, while the innovative application of MARCOS within the IT2FS environment refines the asset selection process. The weighted semi-absolute deviation metric is embraced to capture portfolio risk characteristic, which ingeniously harnesses the utility function values derived from the IT2F-MARCOS framework to delineate the anticipated return profile. On this basis, a dynamic bi-objective portfolio allocation model with realistic constraints and dynamic risk preference is formulated to rebalance portfolio periodically. Empirical evidence demonstrates the robustness and effectiveness of this approach compared to benchmark indexes, different allocation strategies, and the TOPSIS-based selection method, offering significant advancements in portfolio optimization for investors navigating uncertain markets. This study endeavors to contribute to the field of portfolio management, providing a thoughtful approach that enhances both theoretical understanding and practical application.
期刊介绍:
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.