Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection
The fuzzy set theory is widely used to describe the uncertainty of financial markets in modern portfolio selection problems. In this study, the credibility theory (a popular branch of the fuzzy set theory) is applied to extend Markowitz’s mean–variance portfolio selection model into mean–variance–sk...
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2021-08-01
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Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037421000200 |
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doaj-c9b5e54f6b7a4d0a87102cda6df0d29f2021-08-22T04:31:04ZengElsevierResults in Applied Mathematics2590-03742021-08-0111100159Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selectionJagdish Kumar Pahade0Manoj Jha1Corresponding author.; Department of Mathematics, Maulana Azad National Institute of Technology, Bhopal, 462003, IndiaDepartment of Mathematics, Maulana Azad National Institute of Technology, Bhopal, 462003, IndiaThe fuzzy set theory is widely used to describe the uncertainty of financial markets in modern portfolio selection problems. In this study, the credibility theory (a popular branch of the fuzzy set theory) is applied to extend Markowitz’s mean–variance portfolio selection model into mean–variance–skewness portfolio selection model. For this, the returns on risky stocks are regarded as trapezoidal fuzzy variables. The credibilistic skewness is obtained originally for trapezoidal fuzzy variable, and the incorporation of the credibilistic variance of trapezoidal fuzzy variable enables the estimation of risk on portfolio return. To solve the proposed multi-objective optimization problem, a polynomial goal programming approach is suggested in this study. In addition, a dominant numerical analysis of the proposed work and its comparison with existing works are presented.http://www.sciencedirect.com/science/article/pii/S2590037421000200Credibility measureTrapezoidal fuzzy variableCredibilistic varianceCredibilistic skewnessFuzzy portfolio selection |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Jagdish Kumar Pahade Manoj Jha |
spellingShingle |
Jagdish Kumar Pahade Manoj Jha Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection Results in Applied Mathematics Credibility measure Trapezoidal fuzzy variable Credibilistic variance Credibilistic skewness Fuzzy portfolio selection |
author_facet |
Jagdish Kumar Pahade Manoj Jha |
author_sort |
Jagdish Kumar Pahade |
title |
Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection |
title_short |
Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection |
title_full |
Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection |
title_fullStr |
Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection |
title_full_unstemmed |
Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection |
title_sort |
credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection |
publisher |
Elsevier |
series |
Results in Applied Mathematics |
issn |
2590-0374 |
publishDate |
2021-08-01 |
description |
The fuzzy set theory is widely used to describe the uncertainty of financial markets in modern portfolio selection problems. In this study, the credibility theory (a popular branch of the fuzzy set theory) is applied to extend Markowitz’s mean–variance portfolio selection model into mean–variance–skewness portfolio selection model. For this, the returns on risky stocks are regarded as trapezoidal fuzzy variables. The credibilistic skewness is obtained originally for trapezoidal fuzzy variable, and the incorporation of the credibilistic variance of trapezoidal fuzzy variable enables the estimation of risk on portfolio return. To solve the proposed multi-objective optimization problem, a polynomial goal programming approach is suggested in this study. In addition, a dominant numerical analysis of the proposed work and its comparison with existing works are presented. |
topic |
Credibility measure Trapezoidal fuzzy variable Credibilistic variance Credibilistic skewness Fuzzy portfolio selection |
url |
http://www.sciencedirect.com/science/article/pii/S2590037421000200 |
work_keys_str_mv |
AT jagdishkumarpahade credibilisticvarianceandskewnessoftrapezoidalfuzzyvariableandmeanvarianceskewnessmodelforportfolioselection AT manojjha credibilisticvarianceandskewnessoftrapezoidalfuzzyvariableandmeanvarianceskewnessmodelforportfolioselection |
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1721200239096889344 |