INVESTMENT PORTFOLIO OPTIMIZATION USING VALUE AT RISK UNDER CREDIBILITY THEORY WITH Z-NUMBERS APPROACH

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JIROFTI AMIRSINA; NAJAFI AMIR ABBAS

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:30 Page(s): 95-113

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Information Journal Paper

Title

INVESTMENT PORTFOLIO OPTIMIZATION USING VALUE AT RISK UNDER CREDIBILITY THEORY WITH Z-NUMBERS APPROACH

Author(s)

JIROFTI AMIRSINA | NAJAFI AMIR ABBAS | Issue Writer Certificate

Keywords

INVESTMENT PORTFOLIO SELECTIONQ2

FUZZY VALUE AT RISKQ1

FUZZY CREDIBILITY THEORYQ1

Z-NUMBERSQ1

Abstract

Z-numbers theory was proposed in 2011 by Lotfy Zadeh. This theory describe the uncertainty of information where any z-number is displayed by a pair of fuzzy number. Because of the uncertainty in the financial markets, this theory can be used in the INVESTMENT PORTFOLIO SELECTION. As the first component of z-number is the fuzzy asset return and the second component is reliability of prediction of first component. We can use value at risk criterion for increasing efficiency of INVESTMENT PORTFOLIO SELECTION model. Due to consideration the uncertainty in asset returns and using value at risk, this model is an appropriate model for INVESTMENT PORTFOLIO SELECTION. The advantage of this method compared to the conventional fuzzy method is consideration uncertainty of expert knowledge and allocation reliability to their prediction of fuzzy parameter. Finally, we provide a numerical example from Tehran stock market.

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APA: Copy

JIROFTI, AMIRSINA, & NAJAFI, AMIR ABBAS. (2017). INVESTMENT PORTFOLIO OPTIMIZATION USING VALUE AT RISK UNDER CREDIBILITY THEORY WITH Z-NUMBERS APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(30), 95-113. SID. https://sid.ir/paper/197645/en

Vancouver: Copy

JIROFTI AMIRSINA, NAJAFI AMIR ABBAS. INVESTMENT PORTFOLIO OPTIMIZATION USING VALUE AT RISK UNDER CREDIBILITY THEORY WITH Z-NUMBERS APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(30):95-113. Available from: https://sid.ir/paper/197645/en

IEEE: Copy

AMIRSINA JIROFTI, and AMIR ABBAS NAJAFI, “INVESTMENT PORTFOLIO OPTIMIZATION USING VALUE AT RISK UNDER CREDIBILITY THEORY WITH Z-NUMBERS APPROACH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 30, pp. 95–113, 2017, [Online]. Available: https://sid.ir/paper/197645/en

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