The business environment is full of uncertainty. Allocating the wealth among various asset classes may lower the risk of overall portfolio and increase the potential for more benefit over the long term. In this paper, we propose a mixed single-stage R&D projects and multi-stage securities portfolio selection model. Specifically, we present a bi-objective mixed-integer stochastic programming model. Moreover, we use semi-absolute deviation risk functions to measure the risk of mixed asset portfolio. Based on the idea of moments approximation method via linear programming, we propose a scenario generation approach for the mixed single-stage R&D projects and multi-stage securities portfolio selection problem. The bi-objective mixed-integer stochastic programming problem can be solved by transforming it into a single objective mixed-integer stochastic programming problem. A numerical example is given to illustrate the behavior of the proposed mixed single stage R&D projects and multi-stage securities portfolio selection model.

The fuzzy set is one of the powerful tools used to describe an uncertain environment. As well as quantifying any potential return and risk, portfolio liquidity is taken into account and a linear programming model for portfolio rebalancing with transaction costs is proposed. The level of return that an investor might aspire to, the risk and the liquidity of portfolio are vague in an uncertain financial environment. Considering them as fuzzy numbers, we propose a portfolio rebalancing model with transaction costs based on fuzzy decision theory. An example is given to illustrate the behavior of the proposed model using real data from the Shanghai Stock Exchange.

This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem.

Representation bias means a kind of cognitive tendency, and, for investors, it can affect their behavior in the stock market. Whether the representation bias can help the return forecast and portfolio selection is an interesting problem that is less studied. In this paper, based on the representation bias theory and current markets situation in China, a new hierarchy of stock measurement system is constructed and a corresponding set of criteria is also proposed. On each criterion, we try to measure the influence among stocks with adapted fuzzy AHP. Then the Hausdorff distance is applied to weight and compute the horizontal representation returns. For the forecast returns, according to representation behaviors, there is also a new computation method. Empirical results show that the representation bias information is useful to the return forecast as well as the portfolio selection.

This paper analyzes the queuing problem that was experienced during the Shanghai World Expo of

The purpose of this work is to figure out whether the representation bias can help the returns forecasting and portfolio selection. Based on the representation bias theory, first of all, a new stock hierarchy system is constructed, and the influence of the criteria on the stocks is measured by adapted fuzzy AHP. Then a new weighting and computing method to the horizontal and vertical representation returns is proposed and tested. The results show that the representation bias information can be useful to the returns forecast as well as the portfolio selection. Finally, the horizontal and vertical representation returns are combined as to construct a comprehensive representation return, and both its advantages and disadvantages are discussed in some way.

本书是作者近几年来在基于随机规划的多阶段投资决策领域的研究工作的总结,另外也介绍了该领域其他一些学者的重要研究进展。随机规划理论作为近年来重新备受关注的一种方法,在投资组合选择和金融风险管理方面有重要的应用。