Credibilistic portfolio optimization. Individual investors perspective

Introduction
1. Rate of return versus uncertainty of capital investments
Introduction
1.1. Classification of uncertainty
1.1.1. The concept of risk and uncertainty
1.1.2. Uncertainty classifications
1.2. Implementation of uncertainty and risk in investment assessment
1.2.1. Random approach
1.2.2. Fuzzy approach
1.2.3. Approach based on possibility theory
1.2.4. Approach based on credibility theory
1.2.5. Fuzzy-random approach
Summary
2. Individual investor profile
2.1. Polish statistical investors
2.2. Survey Stock Portfolio Selection – criteria and investor preferences
2.2.1. Methodology
2.2.2. Results
Summary – evaluation of optimization task usefulness
3. Th e concept of a fuzzy rate of return
3.1. Fuzzy measures
3.2. Th e concept of a fuzzy variable
3.2.1. Distribution of credibility
3.2.2. The fuzzy variable membership function
3.3. Fuzzy rate of return
3.3.1. Expected value
3.3.2. Uncertainty measures
4. Method for determining a fuzzy rate of return
4.1. Expert approach
4.2. Statistical approach
4.2.1. Interpolation of a continuous membership function
4.3. Empirical study
4.3.1. Methodology and data
4.3.2. Results
5. Stock portfolio optimization problems
5.1. Portfolio selection problems using uncertainty and profi t measures
5.1.1. Portfolio selection problems using dispersion measures
5.1.2. Entropy measures
5.1.3. Models based on credibility measures and safety criteria
Summary
5.2. Models using measures of attitude towards uncertainty and investor preferences
5.2.1. Mean-risk model
5.2.2. Regret minimization model
5.2.3. Investor satisfaction maximization model
Summary
5.3. Empirical study
5.3.1. Methodology and data
5.3.2. Synthetic measure of optimization model evaluation
5.3.3. Results
Summary
Appendix
Appendix A. Survey of stock portfolio selection – criteria and investor preferences
Appendix B. Survey – results
References
Index