{"title":"Model of a minimal risk portfolio under hybrid uncertainty","authors":"A. Yazenin, I. Soldatenko","doi":"10.2478/candc-2021-0016","DOIUrl":null,"url":null,"abstract":"Abstract The article is devoted to the development and study of a model of a minimal risk portfolio under conditions of hybrid uncertainty of possibilistic-probabilistic type. In this model, the interaction of fuzzy parameters is described by both the strongest and the weakest triangular norms. The formula for variance of a portfolio is given that allows for estimating its risk. Models of acceptable portfolios are based on the principle of expected possibility or on the basis of fulfilling the restriction on the possibility/necessity and probability of the level of portfolio return that is acceptable to an investor. Equivalent deterministic analogues of the models are constructed and their solution methods are developed. Theorems describing a set of investment opportunities are proven. The obtained results are demonstrated on a model example.","PeriodicalId":55209,"journal":{"name":"Control and Cybernetics","volume":"50 1","pages":"315 - 333"},"PeriodicalIF":0.0000,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Control and Cybernetics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2478/candc-2021-0016","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Engineering","Score":null,"Total":0}
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Abstract
Abstract The article is devoted to the development and study of a model of a minimal risk portfolio under conditions of hybrid uncertainty of possibilistic-probabilistic type. In this model, the interaction of fuzzy parameters is described by both the strongest and the weakest triangular norms. The formula for variance of a portfolio is given that allows for estimating its risk. Models of acceptable portfolios are based on the principle of expected possibility or on the basis of fulfilling the restriction on the possibility/necessity and probability of the level of portfolio return that is acceptable to an investor. Equivalent deterministic analogues of the models are constructed and their solution methods are developed. Theorems describing a set of investment opportunities are proven. The obtained results are demonstrated on a model example.
期刊介绍：
The field of interest covers general concepts, theories, methods and techniques associated with analysis, modelling, control and management in various systems (e.g. technological, economic, ecological, social). The journal is particularly interested in results in the following areas of research:
Systems and control theory:
general systems theory,
optimal cotrol,
optimization theory,
data analysis, learning, artificial intelligence,
modelling & identification,
game theory, multicriteria optimisation, decision and negotiation methods,
soft approaches: stochastic and fuzzy methods,
computer science,
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