Portfolio Selection Problems with Normal Mixture Distributions Including Fuzziness

In this paper, several portfolio selection problems with normal mixture distributions including fuzziness are proposed. Until now, many researchers have proposed portfolio models based on the stochastic approach, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, the model including normal mixture distributions with fuzzy numbers has not been proposed yet. Our proposed problems are not well-defined problems due to randomness and fuzziness. Therefore, setting some criterions and introducing chance constrains, main problems are transformed into deterministic programming problems. Finally, we construct a solution method to obtain a global optimal solution of the problem

Tactical Assets Allocation: Evidence from the Nigerian Banking Industry

The core of portfolio selection theory centers on striking a balance between risk-return trade-off of a given investment layout so as to maximize benefits. Literature reveals that portfolio selection or asset allocation problems often involve the use of mathematical programming in propounding solution. This paper uses a blend of simultaneous equation and graphical approach to linear programming algorithm to help solve investors’ problem in allocating assets among various alternatives when faced with problems associated with risk-return trade-off

Aspiration Level Approach to Interactive Multi-objective Programming and its Applications

Several kinds of techniques for multiple criteria decision making have been developed for the last few decades. Above all, the aspiration level approach to multi-objective programming problems is widely recognized to be effective in many practical fields. As a variant of the aspiration level approach, the author developed the satisficing tradeoff method. In addition, he has been applying the method to several kinds of practical problems for these ten years. Some of them were already performed in real life. Typical examples such as feed formulation for live stock, erection management of a cable stayed bridge and bond portfolio selection will be included in this paper

Rate of Arbitrage and Reconciled Beliefs

Any group of risk neutral agents who hold differing beliefs is vulnerable to money pumps (arbitrage). Thus, the agents may wish to reconcile their beliefs into a new joint belief. We propose a criterion for the choice of reconciled belief based on the notion of ``rate of arbitrage.''' It is shown that there exists a unique belief (probability distribution) that minimizes the maximal expected rate of arbitrage, and an explicit formula for this belief is given.