HIGHER MOMENT PORTFOLIO OPTIMIZATION UNDER FUZZY ENVIRONMENT

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ROSTAMI M. REZA; KALANTARI BONJAR M.; BEHZADI ADEL

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:24 Page(s): 41-61

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Title

HIGHER MOMENT PORTFOLIO OPTIMIZATION UNDER FUZZY ENVIRONMENT

Author(s)

ROSTAMI M. REZA | KALANTARI BONJAR M. | BEHZADI ADEL | Issue Writer Certificate

Keywords

FUZZY PORTFOLIO OPTIMIZATIONQ2

MEAN-ENTROPY-SKEWNESSQ2

CREDIBILITY THEORYQ2

ECONOMIC PERFORMANCE MEASUREMENTQ2

Abstract

Uncertainty of Return of assets is one of the challenges for the investors. Researchers have used different approaches for return modeling including fuzzy logic. On the other hand, many studies are shown that assets return is abnormal and asymmetric and besides mean and variance investor prefer to consider skewness and kurtosis. This paper has presented a model based on higher moments (skewness and kurtosis) for portfolio optimization problem. CREDIBILITY THEORY has been used for parameter calculation. In addition, ECONOMIC PERFORMANCE MEASUREMENT has been applied in order to compare this model with mean-variance model. Making use of Tehran Stock Exchange data, it is concluded that considering higher moment leads to higher efficiency in portfolio.

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APA: Copy

ROSTAMI, M. REZA, KALANTARI BONJAR, M., & BEHZADI, ADEL. (2015). HIGHER MOMENT PORTFOLIO OPTIMIZATION UNDER FUZZY ENVIRONMENT. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(24), 41-61. SID. https://sid.ir/paper/197910/en

Vancouver: Copy

ROSTAMI M. REZA, KALANTARI BONJAR M., BEHZADI ADEL. HIGHER MOMENT PORTFOLIO OPTIMIZATION UNDER FUZZY ENVIRONMENT. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(24):41-61. Available from: https://sid.ir/paper/197910/en

IEEE: Copy

M. REZA ROSTAMI, M. KALANTARI BONJAR, and ADEL BEHZADI, “HIGHER MOMENT PORTFOLIO OPTIMIZATION UNDER FUZZY ENVIRONMENT,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 24, pp. 41–61, 2015, [Online]. Available: https://sid.ir/paper/197910/en

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