Portfolio Model Considering Normal Uncertain Preference Relations of Investors
The paper examines the application of uncertainty theory to portfolio decision making, specifically focusing on constructing portfolio models based on uncertain preference relations. Firstly, we establish the theoretical foundation by introducing the theory of uncertainty, which includes uncertain measure and normal uncertain distribution. Then, building upon Markowitz portfolio theory, we propose an uncertain preference relation prioritization model with chance constraints and an additive consistency portfolio model to facilitate rational decision making in a complex and uncertain financial environment. Furthermore, empirical analysis validates our model's feasibility, demonstrating its advantages in maximizing returns and minimizing risks.
Authors
- Chun Yan (ORCID: https://orcid.org/0000-0002-1962-4206)
- Zhou Yu (ORCID: https://orcid.org/0000-0003-1619-4455)
- Xiangrong Wang
Institutions
- Shandong University of Science and Technology (CN)
Publication Details
- Journal
- Entropy
- Published
- 2025-05-30
- DOI
- https://doi.org/10.3390/e27060585
- Citations
- 2
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 4.21
Funders
- Ministry of Education of the People's Republic of China
- Natural Science Foundation of Shandong Province
- Humanities and Social Science Fund of Ministry of Education of China