FUZZY MEAN-CVAR PORTFOLIO SELECTION BASED ON CREDIBILITY THEORY

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EBRAHIMI S.BABAK; JIROFTI AMIRSINA; ABDI MATIN

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2018 | Volume:11 | Issue:37 Page(s): 17-27

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Title

FUZZY MEAN-CVAR PORTFOLIO SELECTION BASED ON CREDIBILITY THEORY

Author(s)

EBRAHIMI S.BABAK | JIROFTI AMIRSINA | ABDI MATIN | Issue Writer Certificate

Keywords

PORTFOLIO SELECTION PROBLEMQ2

CONDITIONAL VALUE AT RISKQ2

FUZZY CREDIBILITY THEORYQ2

MEAN-CVAR MODELQ2

Abstract

This paper develops a fuzzy PORTFOLIO SELECTION PROBLEM that minimizes conditional value-at-risk (CVaR) and estimates CVaR by FUZZY CREDIBILITY THEORY and also calculates expected return by fuzzy credibility mean. Using fuzzy techniques makes the model more precise and accurate due to uncertainty of financial data. The use of CVaR helps investors make better decisions because it indicates the size of loss. This study considers some constraints for model including liquidity, cardinality, minimum and maximum investment proportion. The liquidity constraint is measured by turnover of each asset as a trapezoidal fuzzy number. The liquidity constraint converts to a linear constraint by using FUZZY CREDIBILITY THEORY. Using CVaR as a risk measurement and efficient constraints makes the model appropriate and adequate for portfolio selection. Finally, a numerical example is provided by 10 stocks chosen from Tehran Stock Exchange Market in 2015 and it shows the effectiveness and applicability of the proposed model.

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APA: Copy

EBRAHIMI, S.BABAK, JIROFTI, AMIRSINA, & ABDI, MATIN. (2018). FUZZY MEAN-CVAR PORTFOLIO SELECTION BASED ON CREDIBILITY THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(37 ), 17-27. SID. https://sid.ir/paper/200230/en

Vancouver: Copy

EBRAHIMI S.BABAK, JIROFTI AMIRSINA, ABDI MATIN. FUZZY MEAN-CVAR PORTFOLIO SELECTION BASED ON CREDIBILITY THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2018;11(37 ):17-27. Available from: https://sid.ir/paper/200230/en

IEEE: Copy

S.BABAK EBRAHIMI, AMIRSINA JIROFTI, and MATIN ABDI, “FUZZY MEAN-CVAR PORTFOLIO SELECTION BASED ON CREDIBILITY THEORY,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 37 , pp. 17–27, 2018, [Online]. Available: https://sid.ir/paper/200230/en

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