Browsing by Author "Yu, Jing-Rung"

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Diversified portfolios with different entropy measures
(2014-08-15)
Yu, Jing-Rung
;
Lee, Wen-Yi
;
Chiou, Wan-Jiun Paul
;
科技管理研究所
;
Institute of Management of Technology
One of the major issues for Markowitz mean-variance model is the errors in estimations cause "corner solutions" and low diversity in the portfolio. In this paper, we compare the mean-variance efficiency, realized portfolio values, and diversity of the models incorporating different entropy measures by applying multiple criteria method. Differing from previous studies, we evaluate twenty-three portfolio over-time rebalancing strategies with considering short-sales and various transaction costs in asset diversification. Using the data of the most liquid stocks in Taiwan\'s market, our finding shows that the models with Yager\'s entropy yield higher performance because they respond to the change in market by reallocating assets more effectively than those with Shannon\'s entropy and with the minimax disparity model. Furthermore, including entropy in models enhances diversity of the portfolios and makes asset allocation more feasible than the models without incorporating entropy. (C) 2014 Elsevier Inc. All rights reserved.
FUZZY MULTIPLE OBJECTIVE PROGRAMMING IN AN INTERVAL PIECEWISE REGRESSION MODEL
(2009-06-01)
Yu, Jing-Rung
;
Tzeng, Gwo-Hshiung
;
科技管理研究所
;
Institute of Management of Technology
This study proposes fuzzy multiple objective programming to determine the measure of fitness and the number of change-points in an interval piecewise regression model. To increase the measure of fitness, Tanaka and Lee proposed a conceptual procedure, which is a heuristic approach and becomes complicated for determining the proper polynomial. Therefore, a multiple objective approach is adopted to obtain a compromise solution among three objectives - maximizing the measure of fitness, minimizing the number of change-points and minimizing the width to obtain the interval regression models. By using the proposed method, a better measure of fitness can be obtained. Two numerical examples are used as demonstrations to illustrate our approach in more detail.
Modeling Transaction Costs and Skewness in Portfolio: Application of Fuzzy Approach
(2013)
Yu, Jing-Rung
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Chiou, Wan-Jiun Paul
;
Chang, Wei-Yuan
;
Lee, Wen-Yi
;
科技管理研究所
How to deal with errors in estimating return and trading costs is a critical issue in portfolio management. In this paper, we investigate the over-time rebalancing benefits of the portfolio models that consider mean, variance, skewness, allowing short-sale, and transaction costs by incorporating fuzzy decision making. We apply multiple criterion method to deal with the complexity of various objectives. Our empirical results using 144 stocks in Taiwan Stock Exchange confirm the benefits of fuzzy decision making with inclusion of higher moment risk, skewness, in portfolio model, particularly when short-sale is allowed.