Fuzzy Techniques for Improving Satisfaction in Economic Decisions

2014 ◽  
pp. 19-37
Author(s):  
Clara Calvo ◽  
Carlos Ivorra ◽  
Vicente Liern
Keyword(s):  
Portfolio Selection ◽  
Set Theory ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Economic Decisions ◽  
Fuzzy Techniques ◽  
The One ◽  
Classical Decision ◽  
Fuzzy Parameters ◽  
Fuzzy Solutions

The authors use fuzzy set theory to improve classical decision-making problems by incorporating the inherent vagueness in decision-makers’ preferences into the model. They specifically study two representative models: the p-median problem and the portfolio selection problem. The first one is a location problem, which on the one hand fits many real world management situations and on the other hand is suitable for a theoretical analysis of the techniques. The version of the portfolio selection problem presented here is a harder problem, which allows the authors to show the scope of their methods. Some numerical examples are provided to illustrate how fuzzy optimal solutions improve classical ones. Finally, the authors present some results about how fuzzy solutions depend on the membership functions of fuzzy parameters.

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach

scholarly journals A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem

2020 ◽  
Author(s):  
Xin Huang ◽  
Duan Li
Keyword(s):  
Reinforcement Learning ◽  
Portfolio Selection ◽  
Current Knowledge ◽  
Lower Layer ◽  
Experimental Studies ◽  
Selection Problem ◽  
Multiple Time ◽  
Portfolio Selection Problem ◽  
Mean Variance Portfolio ◽  
Mean Variance

Traditional modeling on the mean-variance portfolio selection often assumes a full knowledge on statistics of assets' returns. It is, however, not always the case in real financial markets. This paper deals with an ambiguous mean-variance portfolio selection problem with a mixture model on the returns of risky assets, where the proportions of different component distributions are assumed to be unknown to the investor, but being constants (in any time instant). Taking into consideration the updates of proportions from future observations is essential to find an optimal policy with active learning feature, but makes the problem intractable when we adopt the classical methods. Using reinforcement learning, we derive an investment policy with a learning feature in a two-level framework. In the lower level, the time-decomposed approach (dynamic programming) is adopted to solve a family of scenario subcases where in each case the series of component distributions along multiple time periods is specified. At the upper level, a scenario-decomposed approach (progressive hedging algorithm) is applied in order to iteratively aggregate the scenario solutions from the lower layer based on the current knowledge on proportions, and this two-level solution framework is repeated in a manner of rolling horizon. We carry out experimental studies to illustrate the execution of our policy scheme.

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