Abstract
This paper focuses on the impacts of exit strategy in existing fuzzy portfolio selection models. In the securities market, the term 'exit' means that the investor may sell his/her equity on account of some exogenous or endogenous incentives, especially when the security price becomes higher than his/her expectation or lower than his/her tolerance. It is a common problem that all investors need to face in the investment horizon. There have been various studies reported in the current literature employing fuzzy set theory to handle the uncertainty of portfolio selection. Nevertheless, none of these studies considers the influence caused by exit strategy which will be executed once a security price fluctuates out of the expected interval. In this paper, we first secure the future returns of each security by profit/loss exit points (prices) before rebuilding fuzzy portfolio selection models. Next, the properties of exit points are analyzed. Then a meta-heuristic method is proposed to analyze the differences between the new models' experimental results and those of previous methods. Finally, we discuss how to assign proper exit point values to different securities based on different risk attitudes, and apply our approach to a real application on the New York Stock Exchange.
| Original language | English |
|---|---|
| Pages (from-to) | 502-513 |
| Number of pages | 12 |
| Journal | IEEJ Transactions on Electrical and Electronic Engineering |
| Volume | 9 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 2014 |
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Keywords
- Exit points of profit and loss
- Exit strategy
- Exit time uncertainty
- Fuzzy portfolio selection
- Fuzzy simulation
- Particle swarm optimization
ASJC Scopus subject areas
- Electrical and Electronic Engineering
Cite this
Impact Evaluation of Exit Strategy in Fuzzy Portfolio-based Investment. / Li, You; Wang, Bo; Watada, Junzo.
In: IEEJ Transactions on Electrical and Electronic Engineering, Vol. 9, No. 5, 2014, p. 502-513.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Impact Evaluation of Exit Strategy in Fuzzy Portfolio-based Investment
AU - Li, You
AU - Wang, Bo
AU - Watada, Junzo
PY - 2014
Y1 - 2014
N2 - This paper focuses on the impacts of exit strategy in existing fuzzy portfolio selection models. In the securities market, the term 'exit' means that the investor may sell his/her equity on account of some exogenous or endogenous incentives, especially when the security price becomes higher than his/her expectation or lower than his/her tolerance. It is a common problem that all investors need to face in the investment horizon. There have been various studies reported in the current literature employing fuzzy set theory to handle the uncertainty of portfolio selection. Nevertheless, none of these studies considers the influence caused by exit strategy which will be executed once a security price fluctuates out of the expected interval. In this paper, we first secure the future returns of each security by profit/loss exit points (prices) before rebuilding fuzzy portfolio selection models. Next, the properties of exit points are analyzed. Then a meta-heuristic method is proposed to analyze the differences between the new models' experimental results and those of previous methods. Finally, we discuss how to assign proper exit point values to different securities based on different risk attitudes, and apply our approach to a real application on the New York Stock Exchange.
AB - This paper focuses on the impacts of exit strategy in existing fuzzy portfolio selection models. In the securities market, the term 'exit' means that the investor may sell his/her equity on account of some exogenous or endogenous incentives, especially when the security price becomes higher than his/her expectation or lower than his/her tolerance. It is a common problem that all investors need to face in the investment horizon. There have been various studies reported in the current literature employing fuzzy set theory to handle the uncertainty of portfolio selection. Nevertheless, none of these studies considers the influence caused by exit strategy which will be executed once a security price fluctuates out of the expected interval. In this paper, we first secure the future returns of each security by profit/loss exit points (prices) before rebuilding fuzzy portfolio selection models. Next, the properties of exit points are analyzed. Then a meta-heuristic method is proposed to analyze the differences between the new models' experimental results and those of previous methods. Finally, we discuss how to assign proper exit point values to different securities based on different risk attitudes, and apply our approach to a real application on the New York Stock Exchange.
KW - Exit points of profit and loss
KW - Exit strategy
KW - Exit time uncertainty
KW - Fuzzy portfolio selection
KW - Fuzzy simulation
KW - Particle swarm optimization
UR - http://www.scopus.com/inward/record.url?scp=84906249144&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84906249144&partnerID=8YFLogxK
U2 - 10.1002/tee.21999
DO - 10.1002/tee.21999
M3 - Article
VL - 9
SP - 502
EP - 513
JO - IEEJ Transactions on Electrical and Electronic Engineering
JF - IEEJ Transactions on Electrical and Electronic Engineering
SN - 1931-4973
IS - 5
ER -