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Uncertain random portfolio selection based on risk curve

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Abstract

This paper discusses the uncertain random portfolio selection problem when there are some existing risky securities which have enough historical data and some newly listed ones with insufficient data in the portfolio. So far, in the field of uncertain random portfolio selection, variance, skewness, and value-at-risk have been proposed as the risk criterion. This paper gives a new risk criterion for uncertain random portfolio selection and proposes a new type of mean-risk model based on this criterion to optimization. And in the end, a numerical example is presented for the sake of illustration.

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Authors and Affiliations

  1. Department of Statistics, Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

    Rouhollah Mehralizade

  2. Department of Statistics, Ordered data, Reliability and Dependency Center of Excellence, Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

    Mohammad Amini & Bahram Sadeghpour Gildeh

  3. Department of Mathematical Sciences, University of Sistan and Baluchestan, Zahedan, Iran

    Hamed Ahmadzade

Authors
  1. Rouhollah Mehralizade
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  2. Mohammad Amini
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  3. Bahram Sadeghpour Gildeh
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  4. Hamed Ahmadzade
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Correspondence to Mohammad Amini.

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Communicated by V. Loia.

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Mehralizade, R., Amini, M., Sadeghpour Gildeh, B. et al. Uncertain random portfolio selection based on risk curve. Soft Comput 24, 13331–13345 (2020). https://doi.org/10.1007/s00500-020-04751-9

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