The Optimal Portfolio Model Based on Multivariate T Distribution with Fuzzy Mathematics Method

Liang LIU, Yuling TAN, Wenfeng HUANG, Xing YU

Abstract


This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio yield subject to multivariate t distribution. With Fuzzy Mathematics, we solve the multi-objectives model, and compare the model results to the case under the assumption of normal distribution yield, based on the portfolio VAR through empirical research. It is showed that our returns and risk are higher than M-V model.

Key words: Multivariate t distribution; The optimal portfolio; VAR; CVAR; Multi-objectives programming; Fuzzy mathematics


Keywords


Multivariate t distribution; The optimal portfolio; VAR; CVAR; Multi-objectives programming; Fuzzy mathematics

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DOI: http://dx.doi.org/10.3968/j.sms.1923845220120401.398

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