학술논문
A Risk Measurement by Using Mean-Variance-Kurtosis Hybrid Multi-Objective Portfolio Optimization Model
Document Type
Conference
Author
Source
2018 IEEE 22nd International Conference on Computer Supported Cooperative Work in Design ((CSCWD)) Computer Supported Cooperative Work in Design ((CSCWD), 2018 IEEE 22nd International Conference on. :843-847 May, 2018
Subject
Language
Abstract
Asset portfolio turns to be a decision problem under uncertain environments. In portfolio problem, the return is characterized by the mean. In this paper, we combine decision-making models and portfolio models to solve the problem of inventory and incremental assets. First, we use the 0–1 programming to build decision-making models based on inventory and increased assets, and use these decision-making models to determine the quantity of increased assets and which assets to invest. Second, we build portfolio models with a defined investment ratio based on inventory and increased assets, and use these portfolio models to determine the optimal investment ratio. Finally, we apply these models to an oil company. Experimental results reveal that the proposed decision- making models and portfolio models are very reasonable and provide a useful tool to assist the investors in planning their investment strategy.