Scholarlink

<p>Based on cumulative prospect theory and fuzzy set theory, we introduce investors’ coherent perceptions and propose a novel three-way decision-making method with investors’ coherent perceptions (CP-CPT-TWD). The results emphasize the innovative perspective and methodology provided by the proposed method, effectively offering valuable insights for asset allocation and risk management for various types of investors. Asymmetric CVaR ratio measures extreme risk compensation when extreme events occur in the financial market, indicating that investors suffer losses or obtain excess returns when they bear tail risks frequently. The traditional returns-risk ratio cannot capture the asymmetric cognitive bias and is not dynamically adapted to tail risk indicators (such as CVaR) and investors' subjective beliefs, which leads to the accumulation of implicit risks in delayed decision-making. We construct a credibilistic portfolio selection model with asymmetric CVaR ratios as objectives. The model can generate a more efficient investment strategy based on China’s financial market, consistent with investors’ coherent perceptions and outperforming the benchmark model both in-sample and out-of-sample. In three-way decision, rational investors exhibit a moderate tendency to reduce proportions and opt for a rational investment strategy with similar weights in riskless assets and risky assets, resulting in average investment performance. Optimistic investors, on the other hand, do not reduce holdings in any assets and choose an aggressive investment strategy with high weights in high-risky assets, achieving the best performance. Conversely, pessimistic investors show the highest tendency to reduce risky assets’ proportions with high weights in riskless assets, leading them to adopt a conservative investment strategy that performs worse than other investor types. A higher degree of the constraints on the lower CVaR ratio correlates with lower overall portfolio performance, emphasizing the importance of tailored risk management strategies.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Credibilistic portfolio optimization with investors’ coherent perceptions: a three-way decision approach

  • 期刊论文

  • 发表日期：

    2026年4月30日

查看全文
  • He Li,
  • Xiu Jin,
  • Yueli Liu

摘要

Based on cumulative prospect theory and fuzzy set theory, we introduce investors’ coherent perceptions and propose a novel three-way decision-making method with investors’ coherent perceptions (CP-CPT-TWD). The results emphasize the innovative perspective and methodology provided by the proposed method, effectively offering valuable insights for asset allocation and risk management for various types of investors. Asymmetric CVaR ratio measures extreme risk compensation when extreme events occur in the financial market, indicating that investors suffer losses or obtain excess returns when they bear tail risks frequently. The traditional returns-risk ratio cannot capture the asymmetric cognitive bias and is not dynamically adapted to tail risk indicators (such as CVaR) and investors' subjective beliefs, which leads to the accumulation of implicit risks in delayed decision-making. We construct a credibilistic portfolio selection model with asymmetric CVaR ratios as objectives. The model can generate a more efficient investment strategy based on China’s financial market, consistent with investors’ coherent perceptions and outperforming the benchmark model both in-sample and out-of-sample. In three-way decision, rational investors exhibit a moderate tendency to reduce proportions and opt for a rational investment strategy with similar weights in riskless assets and risky assets, resulting in average investment performance. Optimistic investors, on the other hand, do not reduce holdings in any assets and choose an aggressive investment strategy with high weights in high-risky assets, achieving the best performance. Conversely, pessimistic investors show the highest tendency to reduce risky assets’ proportions with high weights in riskless assets, leading them to adopt a conservative investment strategy that performs worse than other investor types. A higher degree of the constraints on the lower CVaR ratio correlates with lower overall portfolio performance, emphasizing the importance of tailored risk management strategies.