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Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates

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  • Kuen-Suan Chen

    (Department of Industrial Engineering and Management, National Chin-Yi University of Technology, Taichung 411030, Taiwan
    Department of Business Administration, Chaoyang University of Technology, Taichung 413310, Taiwan
    Department of Business Administration, Asia University, Taichung 413305, Taiwan)

  • Ruey-Chyn Tsaur

    (Department of Management Sciences, Tamkang University, New Taipei City 25137, Taiwan)

  • Nei-Chih Lin

    (Department of Management Sciences, Tamkang University, New Taipei City 25137, Taiwan)

Abstract

Portfolio selection is a major topic for investors to allocate their assets and maximize their profit under constrained risk. For uncertain investment behavior in a vagueness environment, some researchers have devoted themselves to this field of fuzzy portfolio models for portfolio selection. Especially, Tsaur, Chiu and Huang in 2021 defined guaranteed return rates to excess investment for securities whose return rates are bigger than the guaranteed return rates in the fuzzy portfolio selection. However, an independent investor has original ideas in investment, and thus we need to consider more types of risk attitudes for an investor’s portfolio selection when the guaranteed return rates are used to excess investment. To manage the excess investment by the risk preference, a new concept of s dimensions of excess investment is introduced to perceive the risk attitude of an investor for portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model. This example shows that the higher dimensions of excess investment derive lower expected return rates with lower constrained risk than that of dimension s = 1; and we suggest lower risk preference should select a higher dimension of excess investment. Then, the dimension of excess investment s = 2 can be applied for portfolio selection when the risk preference is lower.

Suggested Citation

  • Kuen-Suan Chen & Ruey-Chyn Tsaur & Nei-Chih Lin, 2022. "Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates," Mathematics, MDPI, vol. 11(1), pages 1-13, December.
    • Handle: RePEc:gam:jmathe:v:11:y:2022:i:1:p:44-:d:1011849
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    References listed on IDEAS

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