Fuzzy Portfolio Selection in the Risk Attitudes of Dimension Analysis under the Adjustable Security Proportions

Kuen-Suan Chen, Yin-Yin Huang, Ruey-Chyn Tsaur () and Nei-Yu Lin
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Kuen-Suan Chen: Department of Industrial Engineering and Management, National Chin-Yi University of Technology, Taichung 411030, Taiwan
Yin-Yin Huang: School of Economics and Management, Nanchang Vocational University, 308 Provincial Road, Anyi County, Nanchang 330500, China
Ruey-Chyn Tsaur: Department of Management Sciences, Tamkang University, New Taipei City 25137, Taiwan
Nei-Yu Lin: Department of Management Sciences, Tamkang University, New Taipei City 25137, Taiwan

Mathematics, 2023, vol. 11, issue 5, 1-16

Abstract: Fuzzy portfolio models have received many researchers’ focus on the issue of risk preferences. The portfolio based on guaranteed return rates has been developing and considering the dimension of excess investment for the investors in different risk preferences. However, not only excess investment but also shortage investment to the selected portfolio should be considered for risk preferences, including risk-seeking, risk-neutral, and risk-averse, by different degrees of dimensions in excess investment and shortage investment. A comparison to the degree of dimensions for the excess investment and shortage investment indicates that a risk-seeker would like to have excess investment for securities whose return rates are bigger than the guaranteed return rates and shortage investment for securities whose return rates are smaller than the guaranteed return rates. Finally, we present three experiments to illustrate the proposed model. The results show that the different risk preferences derive different fuzzy portfolio selections under s and t dimensions, where a lower value of s is suggested for a risk-seeker as t > s , and we suggest the values of s and t to be smaller than or equal to 3. By contrast, for the risk-neutral investor, we suggest s = t ; t < s is suggested to the investor who is risk-averse.

Keywords: fuzzy portfolio selection; dimension of shortage investment; dimension of excess investment; guaranteed return rate; adjustable security proportion (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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