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

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

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.

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

© 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.