{"corpus_id":123295413,"paper_sha":"a9e6ae67ac23dc4d8cfa4caa3b0ad597fe23ff06","doi":"10.5539/MAS.V3N8P76","arxiv_id":null,"pmid":null,"pmcid":null,"mag_id":2094515296,"dblp_id":null,"acl_id":null,"title":"Optimal Portfolio Selection Models with Uncertain Returns","year":2009,"publication_date":"2009-07-26","venue":"","journal":{"name":"Mathematical Models and Methods in Applied Sciences","pages":"76","volume":"3"},"journal_issn":null,"journal_title":null,"publication_types":[],"pubmed_pub_types":null,"s2_fields_of_study":["Mathematics","Business"],"reference_count":19,"citation_count":23,"influential_citation_count":3,"is_open_access":false,"arxiv_categories":null,"arxiv_license":null,"arxiv_journal_ref":null,"mesh_headings":null,"chemicals":null,"comments_corrections":null,"source_flags":1,"s2_open_access_pdf_url":null,"s2_open_access_landing_url":null,"s2_open_access_license":null,"s2_open_access_status":null,"pmc_open_access_pdf_url":null,"pmc_open_access_landing_url":null,"pmc_open_access_license":null,"pmc_open_access_status":null,"unpaywall_open_access_pdf_url":null,"unpaywall_open_access_landing_url":null,"unpaywall_open_access_license":null,"unpaywall_open_access_status":null,"abstract":"This paper provides two new models for portfolio selection in which the securities are assumed to be uncertain variables that are neither random nor fuzzy. Since there is no efficient method to solve the proposed models, the original problems are transformed into their crisp equivalents programming when the returns are chosen some special uncertain variables such as rectangular uncertain variable, triangular uncertain variable, trapezoidal uncertain variable and normal uncertain variable. Finally, its feasibility and effectiveness of the method is illustrated by numerical example.","claims":[{"public_id":"cl_ec75d85ab880b1331a90159a38738139","status":"active","text":"A numerical example is used to illustrate the feasibility and effectiveness of the proposed method.","confidence":0.93,"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_ec75d85ab880b1331a90159a38738139"},{"public_id":"cl_242da91977005c2b0e9d1ad490f1f139","status":"active","text":"The original portfolio selection problems are transformed into crisp equivalent programming formulations for special uncertain returns including rectangular, triangular, trapezoidal, and normal uncertain variables.","confidence":0.97,"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_242da91977005c2b0e9d1ad490f1f139"},{"public_id":"cl_87ba2e48581c20f98972821ed7263218","status":"active","text":"Two new portfolio selection models are formulated with securities treated as uncertain variables rather than random or fuzzy variables.","confidence":0.98,"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_87ba2e48581c20f98972821ed7263218"}],"concepts":[{"public_id":"co_073b331b024e076463a6310fe97817e4","status":"active","name":"rectangular uncertain variable","description":"A special uncertain variable with a rectangular uncertainty distribution.","types":["distributional form"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_073b331b024e076463a6310fe97817e4"},{"public_id":"co_0c634f9ef7fc3e92ae5ded62df8c002a","status":"active","name":"normal uncertain variable","description":"A special uncertain variable with a normal-shaped uncertainty distribution.","types":["distributional form"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_0c634f9ef7fc3e92ae5ded62df8c002a"},{"public_id":"co_32dab90080bba15a16cc1af9a64af012","status":"active","name":"uncertain variables","description":"Variables representing quantities with uncertainty that are treated here as neither random nor fuzzy.","types":["mathematical variable"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_32dab90080bba15a16cc1af9a64af012"},{"public_id":"co_5320712b20ab0a0636ae9b8088a2ca3d","status":"active","name":"effectiveness","description":"The degree to which the proposed method successfully addresses the portfolio selection problem.","types":["property"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_5320712b20ab0a0636ae9b8088a2ca3d"},{"public_id":"co_5f6ed390016bcc335fed9da15e761cb8","status":"active","name":"trapezoidal uncertain variable","description":"A special uncertain variable with a trapezoidal uncertainty distribution.","types":["distributional form"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_5f6ed390016bcc335fed9da15e761cb8"},{"public_id":"co_6e009876cb811a3b0862b54577a8c355","status":"active","name":"triangular uncertain variable","description":"A special uncertain variable with a triangular uncertainty distribution.","types":["distributional form"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_6e009876cb811a3b0862b54577a8c355"},{"public_id":"co_94d945b76900ed88da6c120e792b68b9","status":"active","name":"securities","description":"Financial assets included in the portfolio selection setting.","types":["financial asset"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_94d945b76900ed88da6c120e792b68b9"},{"public_id":"co_acd5bef38503e0302c176440860fa936","status":"active","name":"feasibility","description":"The practical solvability or implementability of the proposed formulation.","types":["property"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_acd5bef38503e0302c176440860fa936"},{"public_id":"co_ad58b4fe0d9a2ce48b23560947a39e43","status":"active","name":"crisp equivalent programming","description":"A deterministic optimization formulation obtained by converting an uncertain model into an equivalent crisp form.","types":["method"],"aliases":["crisp equivalents programming"],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_ad58b4fe0d9a2ce48b23560947a39e43"},{"public_id":"co_b3944c0a949d8fe4175ee4bb9578d29f","status":"active","name":"portfolio selection models","description":"Optimization models for choosing an investment portfolio under specified uncertainty assumptions.","types":["model"],"aliases":["portfolio selection"],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_b3944c0a949d8fe4175ee4bb9578d29f"},{"public_id":"co_f1760a28dc98620729dfb77d99bfc90f","status":"active","name":"numerical example","description":"A worked numerical case used to demonstrate the proposed approach.","types":["example"],"aliases":[],"contributors":[{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["extraction"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_f1760a28dc98620729dfb77d99bfc90f"}],"external_ids":{"DOI":"10.5539/MAS.V3N8P76","ArXiv":null,"PubMed":null,"PubMedCentral":null,"MAG":2094515296,"DBLP":null,"ACL":null},"open_access":{"is_open_access":false,"pdf_url":null,"landing_url":"https://sah.borca.ai/papers/123295413","source":null,"pdf_url_source":null,"license":null,"reason":"pdf_url_not_indexed"},"reference_availability":{"status":"available","references_indexed":true,"full_text_available":false,"full_text_source":null,"count_basis":"semantic_scholar_metadata","extraction_status":"not_applicable","reason":null},"source":{"provider":"episteme2","base_corpus":"semantic_scholar_dump","freshness_mode":"unknown","basis":["semantic_scholar_metadata","postgres_metadata"],"limits":["paper metadata is based on indexed upstream scholarly datasets","claims and concepts are available only for extracted papers","absence of claims or concepts means no extracted graph data is available in this response"],"status":"available","degraded":false,"degraded_reasons":[],"diagnostics":{"status":"available","degraded":false,"degraded_reasons":[],"metadata_status":"available","graph_status":"available","abstract_status":"available"},"source_flags":1},"paper_id":636381,"paper_uid":"c0fa2beb-b898-47c8-8722-bf7f100298fc","canonical_identity":{"paper_id":636381,"paper_uid":"c0fa2beb-b898-47c8-8722-bf7f100298fc","identity_status":"available","lookup_basis":"semantic_scholar_external_id","compatibility_path":"corpus_id"},"url":"https://sah.borca.ai/papers/123295413"}