Portfolio selection based on uncertain fractional differential equation
Portfolio selection problems are considered in the paper. The securities in the proposed problems are suggested to follow uncertain fractional differential equations which have memory characteristics. By introducing the left semi-deviation of the wealth, two problems are proposed. One is to maximize...
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-01-01
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| Series: | AIMS Mathematics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2022238?viewType=HTML |
| _version_ | 1798014743938596864 |
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| author | Ling Rao |
| author_facet | Ling Rao |
| author_sort | Ling Rao |
| collection | DOAJ |
| description | Portfolio selection problems are considered in the paper. The securities in the proposed problems are suggested to follow uncertain fractional differential equations which have memory characteristics. By introducing the left semi-deviation of the wealth, two problems are proposed. One is to maximize the expected value and minimize the left semi-variance of the wealth. The other is to maximize the expected value of the wealth with a chance constraint that the left semi-deviation of the wealth is not less than a given number at a confidence level. The problems are equivalent to determinant ones which will be solved by genetic algorithm. Examples are provided to show the effectiveness of the proposed methods. |
| first_indexed | 2024-04-11T15:23:12Z |
| format | Article |
| id | doaj.art-19362d4f9f9f425195122061fa6d61d4 |
| institution | Directory Open Access Journal |
| issn | 2473-6988 |
| language | English |
| last_indexed | 2024-04-11T15:23:12Z |
| publishDate | 2022-01-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | AIMS Mathematics |
| spelling | doaj.art-19362d4f9f9f425195122061fa6d61d42022-12-22T04:16:19ZengAIMS PressAIMS Mathematics2473-69882022-01-01734304431410.3934/math.2022238Portfolio selection based on uncertain fractional differential equationLing Rao0School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, ChinaPortfolio selection problems are considered in the paper. The securities in the proposed problems are suggested to follow uncertain fractional differential equations which have memory characteristics. By introducing the left semi-deviation of the wealth, two problems are proposed. One is to maximize the expected value and minimize the left semi-variance of the wealth. The other is to maximize the expected value of the wealth with a chance constraint that the left semi-deviation of the wealth is not less than a given number at a confidence level. The problems are equivalent to determinant ones which will be solved by genetic algorithm. Examples are provided to show the effectiveness of the proposed methods.https://www.aimspress.com/article/doi/10.3934/math.2022238?viewType=HTMLportfolio selectionuncertain processexpected valueleft semi-deviationuncertain fractional differential equationgenetic algorithm |
| spellingShingle | Ling Rao Portfolio selection based on uncertain fractional differential equation AIMS Mathematics portfolio selection uncertain process expected value left semi-deviation uncertain fractional differential equation genetic algorithm |
| title | Portfolio selection based on uncertain fractional differential equation |
| title_full | Portfolio selection based on uncertain fractional differential equation |
| title_fullStr | Portfolio selection based on uncertain fractional differential equation |
| title_full_unstemmed | Portfolio selection based on uncertain fractional differential equation |
| title_short | Portfolio selection based on uncertain fractional differential equation |
| title_sort | portfolio selection based on uncertain fractional differential equation |
| topic | portfolio selection uncertain process expected value left semi-deviation uncertain fractional differential equation genetic algorithm |
| url | https://www.aimspress.com/article/doi/10.3934/math.2022238?viewType=HTML |
| work_keys_str_mv | AT lingrao portfolioselectionbasedonuncertainfractionaldifferentialequation |