A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns

Gupta, Pankaj; Mehlawat, Mukesh Kumar; Kumar, Arun; Yadav, Sweta; Aggarwal, Abha

doi:10.1007/s40815-020-00801-4

Cited by 25 publications

(10 citation statements)

References 37 publications

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“…This means that the investor is not willing to invest more than 30% nor less than 5% of the budget in one stock, which are usual limits by investors. These assumptions are feasible and consistent with practical investment making scenarios recorded in literature (Gupta et al, 2020a(Gupta et al, , 2013bJalota et al, 2017a;Saborido et al, 2016;Vercher & Bermúdez, 2013.…”

Section: Database and Experiments Descriptionsupporting

confidence: 76%

“…Liu and Liu (2002) proposed as an alternative a credibility measure which is self-dual in order to solve the problems incurred by the possibility measure. Since then, some researchers suggest modeling assets return using credibility measures (García et al, 2013;González-Bueno, 2019;Gupta et al, 2020a;Huang, 2006Huang, , 2009Mehlawat, 2016;Vercher & Bermúdez, 2015). The credibility measure is consistent with the law of excluded middle and the law of contradiction (i.e., they have the self-duality property) (Huang, 2010), which is required in theory and demanded by practitioners.…”

Section: Introductionmentioning

confidence: 99%

“…As a result, they are more appropriate to reflect investors' concern about downside losses (Bi et al, 2013). Experimental studies have shown the merits of semivariance and CVaR in measuring portfolio risk in both random (Acerbi & Tasche, 2002;Artzner et al, 1999;Choobineh & Branting, 1986;Kaplan & Alldredge, 1997;Markowitz et al, 1993;Pflug, 2000;Zhao et al, 2020) and fuzzy (Bai & Liu, 2015;Chen & Xu, 2019;García et al, 2019b;Gupta et al, 2020a;Huang, 2008;Jalota et al, 2017aJalota et al, , 2017b environments.…”

Section: Introductionmentioning

confidence: 99%

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Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory

García

González-Bueno

Guijarro

et al. 2020

Technological and Economic Development of Economy

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The present research proposes a novel methodology to solve the problems faced by investors who take into consideration different investment criteria in a fuzzy context. The approach extends the stochastic mean-variance model to a fuzzy multiobjective model where liquidity is considered to quantify portfolio’s performance, apart from the usual metrics like return and risk. The uncertainty of the future returns and the future liquidity of the potential assets are modelled employing trapezoidal fuzzy numbers. The decision process of the proposed approach considers that portfolio selection is a multidimensional issue and also some realistic constraints applied by investors. Particularly, this approach optimizes the expected return, the risk and the expected liquidity of the portfolio, considering bound constraints and cardinality restrictions. As a result, an optimization problem for the constraint portfolio appears, which is solved by means of the NSGA-II algorithm. This study defines the credibilistic Sortino ratio and the credibilistic STARR ratio for selecting the optimal portfolio. An empirical study on the S&P100 index is included to show the performance of the model in practical applications. The results obtained demonstrate that the novel approach can beat the index in terms of return and risk in the analyzed period, from 2008 until 2018.

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Section: Database and Experiments Descriptionsupporting

confidence: 76%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory

García

González-Bueno

Guijarro

et al. 2020

Technological and Economic Development of Economy

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“…And then, this obtained multi objective model is used to calculate compute the 14 Iranian airlines' efficiencies. Pankaj et al [36] proposed portfolio efficiency evaluation using BCC-DEA and RDM model under fuzzy environments. The application of the model is shown in using superior risk measures of value at risk and conditional value at risk under a credibility measure.…”

Section: Introductionmentioning

confidence: 99%

A novel fuzzy non-radial data envelopment analysis: An application in transportation

2021

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The slack-based measure (SBM) DEA model is a non-radial model used to calculate the relative efficiency, input, and output targets of the different decision-making units (DMUs) based on their best peers or efficient frontier. The conventional SBM DEA model used crisp inputs and outputs. But, it can be observed in real-life problems that sometimes the available data is in linguistic forms such as ‘few,’ ‘many,’ ‘small,’ or missing data. The DEA technique is frontier based, and therefore, imprecise data may lead to untenable results. Fuzzy theory, which is already established to handle uncertain data, can overcome this problem. Furthermore, the sensitivity and stability analysis have been checked the robustness of fuzzy DEA models. In this study, sensitivity and stability analysis of the fuzzy SBM DEA has been performed. The lower and upper sensitive bounds for inputs and outputs variables have been obtained for both the inefficient and efficient DMUs to calculate the input and output targets. Finally, a real-life transportation problem for the validity of the study is presented for its depiction.

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“…In these models, the uncertainty of data is addressed by different fuzzy sets (Zadeh, 1965). Moreover, by applying them to practical portfolio selection issues, a series of fuzzy portfolio models have been successfully used in various fields such as strategic management (Pap et al, 2000), the stock market analysis (Teresa et al, 2004), the security risk calculation (Huang, 2011), the large-scale rooftop PV project investment (Wu et al, 2018), and the efficiency evaluation (Gupta et al, 2020). Compared with the portfolio selection models constructed based on accurate data, these fuzzy portfolio selection models are mainly used in uncertain and fuzzy environments.…”

Section: Introductionmentioning

confidence: 99%

Investment decision making based on the probabilistic hesitant financial data: model and empirical study

Zhou

Liu

Zhang

et al. 2020

Economic Research-Ekonomska Istraživanja

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This paper proposes a portfolio selection model from the perspective of probabilistic hesitant financial data (PHFD). PHFD can be interpreted as the new form of information presentation that is obtained by transforming real financial data into probabilistic hesitant fuzzy elements. Based on the above data and model, we can derive the optimal investment ratios and give suggestions for investors. Specifically, this paper first develops a transformation algorithm to transform the general share returns into PHFD. The transformed data can directly show all the returns and their occurrence probabilities. Then, the portfolio selection and risk portfolio selection models based on PHFD, namely the probabilistic hesitant portfolio selection (PHPS) model and the risk probabilistic hesitant portfolio selection (RPHPS) model, are proposed. Furthermore, the investment decision-making methods are provided to show their practical application in financial markets. It is pointed out that the PHPS model for general investors is constructed based on the maximum-score or minimum-deviation principles to get the optimal investment ratios, and the RPHPS model provides the optimal investment ratios for three types of risk investors with the aim of obtaining the maximum return or taking the minimum risk. Finally, an empirical study based on the real data of China's stock markets is shown in detail. The results verify the effectiveness and practicability of the proposed methods.

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A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns

Cited by 25 publications

References 37 publications

Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory

Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory

A novel fuzzy non-radial data envelopment analysis: An application in transportation

Investment decision making based on the probabilistic hesitant financial data: model and empirical study

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