6533b838fe1ef96bd12a4edf

RESEARCH PRODUCT

Measuring Uncertainty in the Portfolio Selection Problem

Enriqueta VercherJosé D. Bermúdez

subject

Index (economics)Computer science05 social sciences050301 education02 engineering and technologyInvestment (macroeconomics)RankingOrder (exchange)Credibility0202 electrical engineering electronic engineering information engineeringEconometricsPortfolioExpected return020201 artificial intelligence & image processingStock market0503 education

description

In this paper, we propose a new index for ranking portfolios based on the credibility expected return and loss on their investment. We assume that the return on a given portfolio is modeled as a trapezoidal fuzzy variable, whose credibility distribution is built using the data set of its historical returns. The credibilistic loss on the investment for a given portfolio is measured by means of a suitable loss function. In order to take risk-adverse investor attitudes into account, we analyze the performance of some credibility measures related to loss and risk on the investment for a given portfolio and their relationship with similar possibility measures. A numerical example is presented showing the performance of different fuzzy ranking indices for real portfolios in the Spanish stock market.

yearjournalcountryeditionlanguage
2018-01-01
https://doi.org/10.1007/978-3-319-73848-2_70