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- 저자 : Seyyed Hamed Abtahi (검색결과 2 건)
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Seyyed Hamed Abtahi,Gholamhossein Yari,Farhad Hosseinzadeh Lotfi,Rahman Farnoosh 한국지능시스템학회 2021 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGE Vol.21 No.1
Empirical studies illustrate that in numerous cases the returns of securities are not normally distributed. In this paper, skew-normal uncertainty distribution is proposed to capture skewness in the portfolio selection problem. Furthermore, the concept of asymmetric entropy for uncertain variables as the quantifier of diversification is presented and its mathematical properties such as translation invariance and positive linearity are studied. To examine the effect of asymmetric entropy parameter on portfolio diversification, a mean-CVaR-entropy portfolio selection problem is presented based on asymmetric entropy with different parameter values and logarithm entropy. A non-dominated sorting genetic algorithm II (NSGA-II) is implemented in MATLAB to solve the corresponding problem. Numerical results show that asymmetric entropy for a specific parameter value will outperform logarithm entropy in portfolio diversification.
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Uncertain random portfolio optimization based on skew chance distribution
Seyyed Hamed Abtahi 한국지능시스템학회 2023 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGE Vol.23 No.1
The financial market is a complex system owing to its inherent dynamics and indeterminacy. It is well known that uncertainty and randomness are two types of indeterminacy. When there are sufficient historical data, random variables are considered, and when the data are lacking, uncertain variables are considered. In numerous complex systems, such as financial markets, uncertainty and randomness often appear simultaneously. To model the indeterminacy associated with complex systems, including uncertainty and randomness, uncertain random variables are used. Massive shifts in financial market prices can cause considerable discrepancies in the normality assumption of security returns. To overcome the restriction imposed by the normality assumption and capture the non-normality of security returns, this study proposes the concepts of skew chance distribution based on a skew-normal uncertainty distribution. A mean-entropy model is presented as an application for portfolio optimization problems. Moreover, a genetic algorithm is implemented in MATLAB to obtain the numerical results.
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