Title | ||
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Portfolio Optimization Strategy Under Fuzzy Random Environment With Investor Sentiment |
Abstract | ||
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It is impossible for any investor to estimate future returns correctly by historical data of assets. So a forecasting methods by experts' judgement based on historical are given to estimate the future returns of assets. Taking into account that investor sentiment has an important influence on stock price, a model for portfolio selection with investors sentiment is proposed under fuzzy and random hybrid uncertain environment, in which the future returns are regarded as fuzzy random variables. Then we define (lambda, gamma)-expectation variance effective investment combination and discuss their efficient frontiers. Finally, a numerical analysis is investigated to expound the new model. The results show that the proposed model can provide more flexible trading strategies. |
Year | Venue | Keywords |
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2015 | 2015 11TH INTERNATIONAL CONFERENCE ON NATURAL COMPUTATION (ICNC) | portfolio optimization, fuzzy random variable, optimism-pessimism sentiment, efficient frontier |
Field | DocType | Citations |
Trading strategy,Mathematical optimization,Computer science,Fuzzy logic,Fuzzy random variable,Judgement,Efficient frontier,Portfolio,Portfolio optimization,Random environment | Conference | 0 |
PageRank | References | Authors |
0.34 | 4 | 3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Wei Sun | 1 | 0 | 0.34 |
Wei-Guo Zhang | 2 | 557 | 39.22 |
Wei-Jun Xu | 3 | 154 | 14.56 |