{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,8]],"date-time":"2025-09-08T06:52:07Z","timestamp":1757314327867,"version":"3.40.3"},"reference-count":39,"publisher":"SAGE Publications","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["IFS"],"published-print":{"date-parts":[[2023,8,24]]},"abstract":"<jats:p>Emerging markets, such as the Chinese financial market, are occasionally subject to extreme risk events that result in investor losses during the investment process. To address the challenge of investment selection amidst market fluctuations, considering the fuzzy uncertainty and tail risk compensation based on the asymmetric perspective, we propose to use the lower VaR ratio and the upper VaR ratio as investment objectives to construct a multi-period credibilistic portfolio selection model. The study reveals that the cumulative returns and terminal wealth of the constructed model surpassed those of the benchmark models, delivering greater social and economic welfare to investors. During extreme events, investors could promptly adjust their portfolio structure to achieve higher investment returns. Investors who prefer the lower VaR ratio tend to make conservative investment decisions and allocate a higher proportion to defensive assets, such as bonds and risk-free assets. Conversely, investors who favor the upper VaR ratio are inclined to adopt aggressive investment strategies and allocate a larger proportion to high-risk stocks. The findings demonstrate that the proposed model offers differentiated investment decisions, and the research conclusions serve as valuable references for investors engaged in multi-period asset allocation and risk management.<\/jats:p>","DOI":"10.3233\/jifs-224517","type":"journal-article","created":{"date-parts":[[2023,6,30]],"date-time":"2023-06-30T15:18:51Z","timestamp":1688138331000},"page":"4825-4845","source":"Crossref","is-referenced-by-count":2,"title":["Multi-period portfolio optimization based on credibilistic lower and upper VaR ratios"],"prefix":"10.1177","volume":"45","author":[{"given":"Xiu","family":"Jin","sequence":"first","affiliation":[{"name":"School of Business Administration, Northeastern University, Shenyang, China"}]},{"given":"He","family":"Li","sequence":"additional","affiliation":[{"name":"School of Business Administration, Northeastern University, Shenyang, China"}]},{"given":"Yuting","family":"Hou","sequence":"additional","affiliation":[{"name":"School of Business Administration, Northeastern University, Shenyang, China"}]}],"member":"179","reference":[{"issue":"1","key":"10.3233\/JIFS-224517_ref1","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz","year":"1952","journal-title":"The Journal of Finance"},{"issue":"5","key":"10.3233\/JIFS-224517_ref2","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1287\/mnsc.37.5.519","article-title":"Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market","volume":"37","author":"Konno","year":"1991","journal-title":"Management Science"},{"key":"10.3233\/JIFS-224517_ref3","first-page":"107","article-title":"Linear Programming Models for Portfolio Optimization","volume":"14","author":"Speranza","year":"1993","journal-title":"Finance"},{"issue":"4","key":"10.3233\/JIFS-224517_ref4","doi-asserted-by":"crossref","first-page":"758","DOI":"10.1109\/TFUZZ.2011.2144599","article-title":"Fuzzy-Portfolio-Selection Models With Value-at-Risk","volume":"19","author":"Wang","year":"2011","journal-title":"IEEE Transactions on Fuzzy Systems"},{"issue":"6","key":"10.3233\/JIFS-224517_ref5","doi-asserted-by":"crossref","first-page":"3673","DOI":"10.1109\/TFUZZ.2018.2842752","article-title":"A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio","volume":"26","author":"Wang","year":"2018","journal-title":"Ieee Transactions on Fuzzy Systems"},{"issue":"1","key":"10.3233\/JIFS-224517_ref6","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1007\/s10700-018-9287-2","article-title":"A method to solve linear programming problem with interval type-2 fuzzy parameters","volume":"18","author":"Kundu","year":"2019","journal-title":"Fuzzy Optimization and Decision Making"},{"issue":"12","key":"10.3233\/JIFS-224517_ref7","doi-asserted-by":"crossref","first-page":"3391","DOI":"10.1109\/TFUZZ.2019.2952754","article-title":"Multiperiod Portfolio Performance Evaluation Model Based on Possibility Theory","volume":"28","author":"Liu","year":"2020","journal-title":"Ieee Transactions on Fuzzy Systems"},{"issue":"4","key":"10.3233\/JIFS-224517_ref8","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1109\/TFUZZ.2002.800692","article-title":"Expected value of fuzzy variable and fuzzy expected value models","volume":"10","author":"Liu","year":"2002","journal-title":"Ieee Transactions on Fuzzy Systems"},{"issue":"5","key":"10.3233\/JIFS-224517_ref9","doi-asserted-by":"crossref","first-page":"527","DOI":"10.1142\/S0218488506004175","article-title":"A Sufficient and necessary condition for measures","volume":"14","author":"Li","year":"2006","journal-title":"International Journal of Uncertainty, Fuzziness and Knowldege-Based Systems"},{"key":"10.3233\/JIFS-224517_ref10","doi-asserted-by":"crossref","first-page":"101779","DOI":"10.1016\/j.irfa.2021.101779","article-title":"Can the probability of extreme returns be the basis for profitable portfolios? 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