Multiperiod Mean Absolute Deviation Uncertain Portfolio Selection

Zhang, Peng

doi:10.7232/iems.2016.15.1.063

Cited by 3 publications

(3 citation statements)

References 39 publications

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“…As extensions. Zhang (2016) [48] proposed the multiperiod mean absolute deviation uncertain portfolio selection with transaction costs, borrowing constraints and threshold constraints.…”

Section: Peng Zhangmentioning

confidence: 99%

RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection

Zhang¹

2019

JIMO

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In this paper, we propose a new multiperiod mean absolute deviation uncertain chance-constrained portfolio selection model with transaction costs, borrowing constraints, threshold constraints and cardinality constraints. In proposed model, the return rate of asset is quantified by uncertain expected value and the risk is characterized by uncertain absolute deviation. The chance constraints are that the uncertain expected return of the portfolio selection is bigger than the preset return of investors under the given confidence level. Cardinality constraints limit the number of assets in the optimal portfolio and threshold constraints limit the amount of capital to be invested in each asset and prevent very small investments in any asset. Based on uncertain theories, the model is converted to a dynamic optimization problem. Because of the transaction costs and cardinality constraints, the multiperiod portfolio selection is a mix integer dynamic optimization problem with path dependence, which is NP hard problem. The proposed model is approximated to a mix integer dynamic programming model. A novel discrete iteration method is designed to obtain the optimal portfolio strategy, and is proved linearly convergent. Finally, an example is given to illustrate the behavior of the proposed model and the designed algorithm using real data from the Shanghai Stock Exchange.

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“…As extensions. Zhang (2016) [48] proposed the multiperiod mean absolute deviation uncertain portfolio selection with transaction costs, borrowing constraints and threshold constraints.…”

Section: Peng Zhangmentioning

confidence: 99%

RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection

Zhang¹

2019

JIMO

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“…In a real market, many investors prefer investing long-term to gain more return by adjusting their investment strategies from time to time and taking into consideration novel market conditions. For this reason, the multi-period portfolio selection problems have attracted many researchers such as [14,15,16,17] .…”

Section: Introductionmentioning

confidence: 99%

Mean-TVaR Models for Diversified Multi-period Portfolio Optimization with Realistic Factors based on Uncertainty Theory

Belabbes,

Mostafa,

El Abidine

2023

Stat., optim. inf. comput.

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The focus of any portfolio optimization problem is to imitate the stock markets and propose the optimal solutions to dealing with diverse investor expectations. In this paper, we propose new multi-period portfolio optimization problems when security returns are uncertain variables, given by experts’ estimations, and take the Tail value at risk (TVaR) as a coherent risk measure of investment in the framework of uncertainty theory. Real- constraints, in which transaction costs, liquidity of securities, and portfolio diversification, are taken into account. Equivalent deterministic forms of mean–TVaR models are proposed under the assumption that returns and liquidity of the securities obey some types of uncertainty distributions. We adapted the Delphi method in order to evaluate the expected, the standard deviation and the turnover rates values of returns of the given securities. Finally, numerical examples are given to illustrate the effectiveness of the proposed models.

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“…Bilbao-Terol et al [13] employed a fuzzy compromise programming model to overcome the fuzzy portfolio selection problem. Some scholars have also focused on the issues of mean variance, mean semi-variance, skewness of a given fuzzy variable, and mean risk curve in the portfolio selection models [14][15][16][17][18]. Tsaur [19] proposed a fuzzy portfolio model with a fuzzy return and fuzzy proportion under incomplete information during a period of depression.…”

Section: Introductionmentioning

confidence: 99%

Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates

Huang¹,

Chen

Chiu

et al. 2021

Mathematics

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Based on the concept of high returns as the preference to low returns, this study discusses the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates in a fuzzy environment, in which the return rates for selected securities are characterized by fuzzy variables. We suppose some securities are for excess investment because their return rates are higher than the guaranteed return rates, and the other securities whose return rates are lower than the guaranteed return rates are considered for shortage investment. Then, we solve the proposed expected fuzzy returns by the concept of possibility theory, where fuzzy returns are quantified by possibilistic mean and risks are measured by possibilistic variance, and then we use linear programming model to maximize the expected value of a portfolio’s return under investment risk constraints. Finally, we illustrate two numerical examples to show that the expected return rate under a lower guaranteed return rate is better than a higher guaranteed return rates in different levels of investment risks. In shortage investments, the investment proportion for the selected securities are almost zero under higher investment risks, whereas the portfolio is constructed from those securities in excess investments.

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Multiperiod Mean Absolute Deviation Uncertain Portfolio Selection

Cited by 3 publications

References 39 publications

RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection

RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection

Mean-TVaR Models for Diversified Multi-period Portfolio Optimization with Realistic Factors based on Uncertainty Theory

Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates

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