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In this paper, views of investor are described in fuzzy sets, and two fuzzy Black-Litterman models are constructed with fuzzy views and fuzzy random views respectively. In the models, expected returns and uncertainty matrix of views are redefined and the views are formulated by fuzzy approaches suitably. Then the models are tested with data from Chinese financial markets. Empirical results show that the fuzzy random views model performs the best, and both the fuzzy models are better than the traditional ones, demonstrating that the fuzzy approaches can contain more information in the views and measure the uncertainty more correctly. [ABSTRACT FROM AUTHOR]

We investigate a robust version of the portfolio selection problem under a risk measure based on the lower-partial moment (LPM), where uncertainty exists in the underlying distribution. We demonstrate that the problem formulations for robust portfolio selection based on the worst-case LPMs of degree 0, 1 and 2 under various structures of uncertainty can be cast as mathematically tractable optimization problems, such as linear programs, second-order cone programs or semidefinite programs. We perform extensive numerical studies using real market data to reveal important properties of several aspects of robust portfolio selection. We can conclude from our results that robustness does not necessarily imply a conservative policy and is indeed indispensable and valuable in portfolio selection. [ABSTRACT FROM AUTHOR]

The extensible, structural and validated nature of XML provides standard data representation for efficient data interchange among diverse information resources available on the Web. Therefore, it leads to its growing recognition in e-commerce and Internet-based information exchange. In this paper, we stress the adoption of XML technology in developing efficient and flexible Web-enabled decision support systems. Based on a case study for portfolio selection systems, we explore the design issues in applying XML to overcome the heterogeneity of data exchange and sharing of various portfolio optimization models. [ABSTRACT FROM AUTHOR]

For the improvement of sustainability in a shipbuilding supply chain, we first analyze the decisions on the energy efficiency of main engines (EEME) and the price of the shipbuilding service. Then, objective functions are developed for the portfolio selection of main engines according to different supply chain strategies. Furthermore, experimental analysis is conducted to make observations and illustrate some related issues. The results suggest that technological innovations should be advocated to reduce the fixed costs for effective improvements of the EEME. When supply chain coordination is realized, the best environment performance and the highest consumer surplus can be achieved. [ABSTRACT FROM AUTHOR]

Abstract: This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance (FMVC) portfolio selection model was proposed. The possibilistic programming problem can be transformed into a linear optimal problem with an additional quadratic constraint by possibilistic theory. For such problems there are no special standard algorithms. We propose a cutting plane algorithm to solve (FMVC). The nonlinear programming problem can be solved by sequence linear programming problem. A numerical example is given to illustrate the behavior of the proposed model and algorithm. [Copyright &y& Elsevier]

Abstract The problem that firms usually face with is how to allocate limited funds to available projects. In this study, we develop a group decision-making approach to help managers to select optimal portfolio in which the group contains several experts who are invited to express their personal evaluations on candidate projects. The proposed approach considers not only the group intelligence, but also the consensus process of group decision making. Because of the uncertain environment of portfolio selection, especially when investing newly-established projects, the hesitant fuzzy information is considered in evaluating the performance of projects. Furthermore, the score function and deviation function of hesitant fuzzy numbers are used to depict the return and risk of the projects, respectively. In addition, the prospect theory is employed to reflect the psychological behavior of experts because they evaluate the projects relying heavily on their intuition under risk. A numerical example is given to demonstrate the applicability of the proposed method and comparisons are conducted to show the advantages of the method. Highlights • The problem of portfolio selection is solved by a group decision-making process. • The psychological behavior of experts is considered with the prospect theory. • A new prospect value function is proposed under the hesitant fuzzy environment. • Comparison analyses are given to illustrate the validity of the approach. [ABSTRACT FROM AUTHOR]

How to measure investor views and apply it in multi-period investment is an important problem in portfolio selection. This paper attempts to construct a portfolio selection model with extreme situations and extend it under the multi-period framework. First, we modify a portfolio selection model to fit the extreme cases of 0% or 100% confidence views, then we establish a new programming problem based on optimization approach and figure out the explicit solutions. Second, we extend the model to multi-period form and discretize the results with scenario tree, which solves the multi-period problems. Third, we build an international portfolio with CVaR risk measurement. The numerical tests show that the new multi-period selection model performs better than the others. [ABSTRACT FROM AUTHOR]