On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

Stepan A. Rogonov; Ilia S. Soldatenko; Alexander V. Yazenin

doi:10.2478/candc-2022-0024

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On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

Control and Cybernetics

Volume 51 (2022): Issue 4 (December 2022)

By: Stepan A. Rogonov, Ilia S. Soldatenko and Alexander V. Yazenin

Open Access

|Feb 2024

Abstract

The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short sales. Investor’s acceptable level of expected return is defined in crisp and fuzzy forms. Obtained results are illustrated on a model example. The dependence of the quasi-efficient frontier on the value of α -level is investigated.

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Articles in this issue

DOI: https://doi.org/10.2478/candc-2022-0024 | Journal eISSN: 2720-4278 | Journal ISSN: 0324-8569

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Language: English

Page range: 445 - 466

Submitted on: Oct 1, 2022

Accepted on: Dec 1, 2022

Published on: Feb 24, 2024

Published by: Systems Research Institute Polish Academy of Sciences

In partnership with: Paradigm Publishing Services

Publication frequency: 4 issues per year

Keywords:

portfolio selection model,

hybrid uncertainty,

possibility,

necessity,

quasi-efficient solutions,

minimum risk portfolio frontier,

fuzzy random variable

Related subjects:

Computer sciences,

Computer sciences, other,

Engineering,

Electrical engineering,

Fundamentals of electrical engineering,

Mechanical engineering,

Fundamentals of mechanical engineering,

Mathematics,

General mathematics

© 2024 Stepan A. Rogonov, Ilia S. Soldatenko, Alexander V. Yazenin, published by Systems Research Institute Polish Academy of Sciences
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 51 (2022): Issue 4 (December 2022)