Fuzzy portfolio selection based on value-at-risk

Bo Wang, Shuming Wang, Junzo Watada

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    2 Citations (Scopus)

    Abstract

    In this paper, using Value-at-Risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The Value-at-Risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given.

    Original languageEnglish
    Title of host publicationConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
    Pages1840-1845
    Number of pages6
    DOIs
    Publication statusPublished - 2009
    Event2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009 - San Antonio, TX
    Duration: 2009 Oct 112009 Oct 14

    Other

    Other2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
    CitySan Antonio, TX
    Period09/10/1109/10/14

    Fingerprint

    Particle swarm optimization (PSO)

    Keywords

    • Fuzzy simulation
    • Fuzzy variable
    • Hybrid particle swarm optimization
    • Portfolio selection model
    • Value-at-risk

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering
    • Control and Systems Engineering
    • Human-Computer Interaction

    Cite this

    Wang, B., Wang, S., & Watada, J. (2009). Fuzzy portfolio selection based on value-at-risk. In Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics (pp. 1840-1845). [5346757] https://doi.org/10.1109/ICSMC.2009.5346757

    Fuzzy portfolio selection based on value-at-risk. / Wang, Bo; Wang, Shuming; Watada, Junzo.

    Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics. 2009. p. 1840-1845 5346757.

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Wang, B, Wang, S & Watada, J 2009, Fuzzy portfolio selection based on value-at-risk. in Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics., 5346757, pp. 1840-1845, 2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009, San Antonio, TX, 09/10/11. https://doi.org/10.1109/ICSMC.2009.5346757
    Wang B, Wang S, Watada J. Fuzzy portfolio selection based on value-at-risk. In Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics. 2009. p. 1840-1845. 5346757 https://doi.org/10.1109/ICSMC.2009.5346757
    Wang, Bo ; Wang, Shuming ; Watada, Junzo. / Fuzzy portfolio selection based on value-at-risk. Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics. 2009. pp. 1840-1845
    @inproceedings{640a79fc0f8f4777aeaf5404eac91b3d,
    title = "Fuzzy portfolio selection based on value-at-risk",
    abstract = "In this paper, using Value-at-Risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The Value-at-Risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given.",
    keywords = "Fuzzy simulation, Fuzzy variable, Hybrid particle swarm optimization, Portfolio selection model, Value-at-risk",
    author = "Bo Wang and Shuming Wang and Junzo Watada",
    year = "2009",
    doi = "10.1109/ICSMC.2009.5346757",
    language = "English",
    isbn = "9781424427949",
    pages = "1840--1845",
    booktitle = "Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics",

    }

    TY - GEN

    T1 - Fuzzy portfolio selection based on value-at-risk

    AU - Wang, Bo

    AU - Wang, Shuming

    AU - Watada, Junzo

    PY - 2009

    Y1 - 2009

    N2 - In this paper, using Value-at-Risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The Value-at-Risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given.

    AB - In this paper, using Value-at-Risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The Value-at-Risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given.

    KW - Fuzzy simulation

    KW - Fuzzy variable

    KW - Hybrid particle swarm optimization

    KW - Portfolio selection model

    KW - Value-at-risk

    UR - http://www.scopus.com/inward/record.url?scp=74849107527&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=74849107527&partnerID=8YFLogxK

    U2 - 10.1109/ICSMC.2009.5346757

    DO - 10.1109/ICSMC.2009.5346757

    M3 - Conference contribution

    SN - 9781424427949

    SP - 1840

    EP - 1845

    BT - Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics

    ER -