An expected regret minimization portfolio selection model
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 484-492 |
Journal / Publication | European Journal of Operational Research |
Volume | 218 |
Issue number | 2 |
Publication status | Published - 16 Apr 2012 |
Link(s)
Abstract
Fuzzy portfolio selection has been widely studied within the framework of the credibility theory. However, all existing models provide only concentrated investment solutions, which contradicts the risk diversification concept in the classical portfolio selection theory. In this paper, we propose an expected regret minimization model, which minimizes the expected value of the distance between the maximum return and the obtained return associated with each portfolio. We prove that our model is advantageous for obtaining distributive investment and reducing investor regret. The effectiveness of the model is demonstrated by using an example of a portfolio selection problem comprising ten securities in the Shanghai Stock Exchange 180 Index. © 2011 Elsevier B.V. All rights reserved.
Research Area(s)
- Credibility measure, Fuzzy variable, Portfolio selection, Uncertainty modeling, Worst regret criterion
Citation Format(s)
An expected regret minimization portfolio selection model. / Li, Xiang; Shou, Biying; Qin, Zhongfeng.
In: European Journal of Operational Research, Vol. 218, No. 2, 16.04.2012, p. 484-492.
In: European Journal of Operational Research, Vol. 218, No. 2, 16.04.2012, p. 484-492.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review