Year: 2025
Type: article
Abstract: 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.
Source: Entropy
DOI: 10.3390/e27060585
Institution: Shandong University of Science and Technology
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $3,137
Awards: G5698367872, G778907767
OpenAlex ID: W4410908264