Portfolio selection with coherent Investor’s expectations under uncertainty

作者：

Highlights：

• We aim to capture the coherence of the investor’s expectation.

• Membership degrees to favorable and unfavorable cases are transformed consistently.

• The asset allocation models by the coherent fuzzy numbers are proposed.

摘要

•We aim to capture the coherence of the investor’s expectation.•Membership degrees to favorable and unfavorable cases are transformed consistently.•The asset allocation models by the coherent fuzzy numbers are proposed.

论文关键词：Fuzzy portfolio selection,The mean-variance-skewness model,Coherence,Investor’s expectations

论文评审过程：Received 14 December 2018, Revised 18 April 2019, Accepted 8 May 2019, Available online 9 May 2019, Version of Record 16 May 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.05.008