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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2020 (2020), Article ID 2

A behavioral portfolio decision model based on credibility of interval-valued fuzzy number

Qiansheng Zhang

PDF (331.9 KB) https://doi.org/10.28919/mfl/4573

Abstract

This paper handles a multi-account behavioral portfolio decision problem involved with interval-valued fuzzy number return. A sentimental mean model for behavioral portfolio decision is proposed by taking into account multiple mental accounts and investor sentiments. The presented behavioral portfolio decision model maximizes the sentimental mean value of portfolio return and ensures the portfolio return of each mental account exceeding the given minimum interval level with a given credibility degree. Then, a behavioral portfolio decision model based on credibility degree of interval-valued fuzzy number return is designed to solve the optimal portfolio strategy. Finally, one numerical example is given to illustrate the validity of the proposed behavioral portfolio method.

Published
23 April 2020
Volume
2020 (2020)
License
CC BY 3.0

Copyright © 2020 Qiansheng Zhang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this article

Q. Zhang, A behavioral portfolio decision model based on credibility of interval-valued fuzzy number, Math. Finance Lett. 2020 (2020), 2. https://doi.org/10.28919/mfl/4573

BibTeX
@article{Zhang2020,
  author  = {Zhang, Qiansheng},
  title   = {A behavioral portfolio decision model based on credibility of interval-valued fuzzy number},
  journal = {Math. Finance Lett.},
  volume  = {2020},
  year    = {2020},
  pages   = {2},
  doi     = {10.28919/mfl/4573}
}