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Books > Business & Economics > Finance & accounting > Finance > Investment & securities
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Portfolio Analysis - From Probabilistic to Credibilistic and Uncertain Approaches (Hardcover, 2010 ed.)
Loot Price: R2,981
Discovery Miles 29 810
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Portfolio Analysis - From Probabilistic to Credibilistic and Uncertain Approaches (Hardcover, 2010 ed.)
Series: Studies in Fuzziness and Soft Computing, 250
Expected to ship within 10 - 15 working days
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The most salient feature of security returns is uncertainty. The
purpose of the book is to provide systematically a quantitative
method for analyzing return and risk of a portfolio investment in
di?erent kinds of uncertainty and present the ways for striking a
balance between investment return and risk such that an optimal
portfolio can be obtained. In classical portfolio theory, security
returns were assumed to be random variables, and probability theory
was the main mathematical tool for h- dling uncertainty in the
past. However, the world is complex and uncertainty is varied.
Randomnessis nottheonly typeofuncertaintyinreality, especially when
human factors are included. Security market, one of the most
complex marketsintheworld, containsalmostallkindsofuncertainty.
Thesecurity- turns are sensitive to various factors including
economic, social, political and very importantly, people's
psychological factors. Therefore, other than strict probability
method, scholars have proposed some other approaches including
imprecise probability, possibility, and interval set methods, etc.,
to deal with uncertaintyinportfolioselectionsince1990's.
Inthisbook, wewantto addto thetools existingin
sciencesomenewandunorthodoxapproachesforanal- ing uncertainty of
portfolio returns. When security returns are fuzzy, we use
credibility which has self-duality property as the basic measure
and employ
credibilitytheorytohelpmakeselectiondecisionsuchthatthedecisionresult
will be consistent with the laws of contradiction and excluded
middle. Being awarethat one tool is not enough for solving complex
practical problems, we further employ uncertain measure and
uncertainty theory to help select an optimal portfolio when
security returns behave neither randomly nor fuzzily. One core of
portfolio selection is to ?nd a quantitative risk de?nition of a
portfolio investment.
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