Author(s): LIU Jia-he, JIN Xiu, YUAN Ying
Pages: 166-174
Year: 2016 Issue:  1
Journal: Operations Research and Management Science
Keyword:  financial engineering; portfolio model; random fuzzy number; risk attitude; prospect theory;
Abstract: As investors face the uncertainty of randomness and fuzziness simultaneously in stock market , the paper defines the security returns as random fuzzy variables .Based on the prospect theory and investors ’ psycho-logical trait, a random fuzzy portfolio model with different investor risk attitudes is proposed by constructing different random fuzzy returns , target weights and membership functions of expected return .Under the decline and rise stages of stock market , the differences of portfolios for investors with different risk attitudes and the performan ce of the proposed model are empirically studied .The results show that the risk attitudes of investors can affect the structures of portfolios , and the proposed model is viable in practice and can be used to construct portfolios which meet the need of investors with different risk attitudes .