期刊名称：IAENG International Journal of Computer Science
印刷版ISSN：1819-656X
电子版ISSN：1819-9224
出版年度：2021
卷号：48
期号：2
语种：English
出版社：IAENG - International Association of Engineers
摘要：The security market is an uncertain and extremely complicated system, in which few scholars focus on the investor’s behavioral analysis by risk adaptation value parameter in the fuzzy portfolio model. In terms of this issue, this paper attempts to combine the three different investors’ risk attitudes and the security fuzzy uncertainty in the portfolio research. Firstly, the fuzzy return rate is defined as a trapezoidal fuzzy number with risk adaptation value parameter k. Different k values correspond to different risk attitudes which contain risk-averse, risk-neutral and risk-seeking. Secondly, in theory we derive the concrete numerical expressions of the possibilistic mean, variance and covariance with risk adaptation value by strictly mathematical proof based on possibility theory. On the basis of this, the fuzzy portfolio models with three different risk attitudes are developed under the constraints of transaction costs, investment proportion upper and lower bounds. Finally, some numerical examples are verified to show that our models are feasible and effective. Then we discuss and compare the results in the following cases: the influence of three different risk attitudes on the portfolio models when transaction costs are considered and not considered; the change of different k values and the impact of transaction costs when the risk attitude is the same.
关键词：portfolio selection;risk adaptation value;trapezoidal fuzzy number;risk attitude;possibility theory
