{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T16:42:33Z","timestamp":1740156153940,"version":"3.37.3"},"reference-count":28,"publisher":"MDPI AG","issue":"2","license":[{"start":{"date-parts":[[2023,1,23]],"date-time":"2023-01-23T00:00:00Z","timestamp":1674432000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Symmetry"],"abstract":"This paper aims to model the covariance of financial assets using neutrosophic fuzzy numbers. Two main concepts are discussed and used, namely the neutrosophic covariance of the financial assets and the independent neutrosophic portfolios. In terms of methodology, a three-step approach is proposed with the purpose of identifying the independent neutrosophic portfolio return, the independent neutrosophic portfolio risk and the structure of the independent neutrosophic portfolio. For this purpose, neutrosophic fuzzy theory is chosen for this type of approach as it allows a proper modeling of the financial performance indicators by taking into account the probabilities of their achievement. This action is possible even in the situation in which linguistic variables are used for better characterizing the values of the recorded data. Numerical examples are provided in each stage of the methodology description for a better understanding of the proposed approach. The results of the study can be used to substantiate the decisions made by the capital market investors.<\/jats:p>","DOI":"10.3390\/sym15020320","type":"journal-article","created":{"date-parts":[[2023,1,23]],"date-time":"2023-01-23T09:19:22Z","timestamp":1674465562000},"page":"320","source":"Crossref","is-referenced-by-count":1,"title":["Modeling the Covariance of Financial Assets Using Neutrosophic Fuzzy Numbers"],"prefix":"10.3390","volume":"15","author":[{"given":"Marcel-Ioan","family":"Bolo\u0219","sequence":"first","affiliation":[{"name":"Department of Finance and Banks, University of Oradea, 410087 Oradea, Romania"}]},{"given":"Ioana-Alexandra","family":"Bradea","sequence":"additional","affiliation":[{"name":"Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010374 Bucharest, Romania"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3589-1969","authenticated-orcid":false,"given":"Camelia","family":"Delcea","sequence":"additional","affiliation":[{"name":"Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010374 Bucharest, Romania"}]}],"member":"1968","published-online":{"date-parts":[[2023,1,23]]},"reference":[{"key":"ref_1","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz","year":"1952","journal-title":"J. Financ."},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"54","DOI":"10.2469\/faj.v51.n2.1881","article-title":"Portfolio selection based on return, risk, and relative performance","volume":"51","author":"Chow","year":"1995","journal-title":"Financ. Anal. J."},{"unstructured":"Shenoy, C., and Shenoy, P.P. (2000). Computational Finance, The MIT Press.","key":"ref_3"},{"key":"ref_4","doi-asserted-by":"crossref","first-page":"112810","DOI":"10.1016\/j.eswa.2019.07.027","article-title":"Multi-objective imprecise programming for financial portfolio selection with fuzzy returns","volume":"138","author":"Mansour","year":"2019","journal-title":"Expert Syst. Appl."},{"key":"ref_5","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1016\/j.cam.2018.06.049","article-title":"Uncertain portfolio selection with mental accounts and realistic constraints","volume":"346","author":"Xue","year":"2019","journal-title":"J. Comput. Appl. Math."},{"doi-asserted-by":"crossref","unstructured":"Fern\u00e1ndez-Navarro, F., Mart\u00ednez-Nieto, L., Carbonero-Ruz, M., and Montero-Romero, T. (2021). Mean squared variance portfolio: A mixed-integer linear programming formulation. Mathematics, 9.","key":"ref_6","DOI":"10.3390\/math9030223"},{"doi-asserted-by":"crossref","unstructured":"Yu, J., and Chang, K.-C. (2020). Neural network predictive modeling on dynamic portfolio management\u2014A simulation-based portfolio optimization approach. J. Risk Financial Manag., 13.","key":"ref_7","DOI":"10.3390\/jrfm13110285"},{"doi-asserted-by":"crossref","unstructured":"Mercurio, P.J., Wu, Y., and Xie, H. (2020). An entropy-based approach to portfolio optimization. Entropy, 22.","key":"ref_8","DOI":"10.3390\/e22030332"},{"doi-asserted-by":"crossref","unstructured":"\u0160krinjari\u0107, T., and \u0160ego, B. (2018). Using grey incidence analysis approach in portfolio selection. Int. J. Financial Stud., 7.","key":"ref_9","DOI":"10.3390\/ijfs7010001"},{"doi-asserted-by":"crossref","unstructured":"Nowak, M., Mierzwiak, R., Wojciechowski, H., and Delcea, C. (2020). Grey portfolio analysis method. Grey Syst. Theory Appl., Ahead of Print.","key":"ref_10","DOI":"10.1108\/GS-11-2019-0049"},{"doi-asserted-by":"crossref","unstructured":"Bolo\u0219, M.-I., Bradea, I.-A., and Delcea, C. (2021). Optimization of financial asset neutrosophic portfolios. Mathematics, 9.","key":"ref_11","DOI":"10.3390\/math9111162"},{"doi-asserted-by":"crossref","unstructured":"Bolos, M.-I., Bradea, I.-A., and Delcea, C. (2019). Modeling the Performance Indicators of Financial Assets with Neutrosophic Fuzzy Numbers. Symmetry, 11.","key":"ref_12","DOI":"10.3390\/sym11081021"},{"doi-asserted-by":"crossref","unstructured":"Bolo\u0219, M.-I., Bradea, I.-A., and Delcea, C. (2019). Neutrosophic portfolios of financial assets. Minimizing the risk of neutrosophic portfolios. Mathematics, 7.","key":"ref_13","DOI":"10.3390\/math7111046"},{"key":"ref_14","first-page":"356","article-title":"Multi-objective mathematical model for asset portfolio selection using neutrosophic goal programming technique","volume":"50","author":"Chaudhury","year":"2022","journal-title":"Neutrosophic Sets Syst."},{"key":"ref_15","first-page":"766","article-title":"Neutrosophic DEMATEL approach for financial ratio performance evaluation of the NASDAQ exchange","volume":"51","author":"Veeramani","year":"2022","journal-title":"Neutrosophic Sets Syst."},{"key":"ref_16","doi-asserted-by":"crossref","first-page":"72","DOI":"10.14254\/2071-8330.2017\/10-4\/5","article-title":"Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic","volume":"10","author":"Aliu","year":"2017","journal-title":"J. Int. Stud."},{"key":"ref_17","doi-asserted-by":"crossref","first-page":"106382","DOI":"10.1016\/j.cie.2020.106382","article-title":"A multi-objective tabu search algorithm for product portfolio selection: A case study in the automotive industry","volume":"142","author":"Alfieri","year":"2020","journal-title":"Comput. Ind. Eng."},{"doi-asserted-by":"crossref","unstructured":"Borodin, A., Tvaronavi\u010dien\u0117, M., Vygodchikova, I., Panaedova, G., and Kulikov, A. (2021). Optimization of the structure of the investment portfolio of high-tech companies based on the minimax criterion. Energies, 14.","key":"ref_18","DOI":"10.3390\/en14154647"},{"doi-asserted-by":"crossref","unstructured":"Mohanty, S.K., Aadland, R., Westgaard, S., Frydenberg, S., Lillienskiold, H., and Kristensen, C. (2021). Modelling stock returns and risk management in the shipping industry. J. Risk Financial Manag., 14.","key":"ref_19","DOI":"10.3390\/jrfm14040171"},{"key":"ref_20","doi-asserted-by":"crossref","first-page":"39","DOI":"10.1016\/j.omega.2016.05.007","article-title":"Linear solution schemes for mean-semivariance project portfolio selection problems: An application in the oil and gas industry","volume":"68","author":"Sefair","year":"2017","journal-title":"Omega"},{"key":"ref_21","doi-asserted-by":"crossref","first-page":"51","DOI":"10.1016\/j.sbspro.2013.03.039","article-title":"Strategic selection and empowerment of supplier portfolios case: Oil and gas industries in Iran","volume":"74","author":"Sepehri","year":"2013","journal-title":"Procedia-Soc. Behav. Sci."},{"key":"ref_22","first-page":"225","article-title":"A portfolio selection using fuzzy analytic hierarchy process: A case study of Iranian pharmaceutical industry","volume":"2","author":"Makui","year":"2011","journal-title":"Int. J. Ind. Eng. Comput."},{"key":"ref_23","doi-asserted-by":"crossref","first-page":"230","DOI":"10.1016\/j.ememar.2006.03.001","article-title":"Portfolio selection with skewness in emerging market industries","volume":"8","author":"Canela","year":"2007","journal-title":"Emerg. Mark. Rev."},{"doi-asserted-by":"crossref","unstructured":"Jim\u00e9nez, I., Mora-Valencia, A., \u00d1\u00edguez, T.-M., and Perote, J. (2020). Portfolio risk assessment under dynamic (equi)correlation and semi-nonparametric estimation: An application to cryptocurrencies. Mathematics, 8.","key":"ref_24","DOI":"10.20944\/preprints202010.0468.v1"},{"doi-asserted-by":"crossref","unstructured":"Li, Z., Li, X., Hui, Y., and Wong, W.-K. (2018). Maslow portfolio selection for individuals with low financial sustainability. Sustainability, 10.","key":"ref_25","DOI":"10.3390\/su10041128"},{"doi-asserted-by":"crossref","unstructured":"Tsaur, R.-C., Chiu, C.-L., and Huang, Y.-Y. (2021). Fuzzy portfolio selection in COVID-19 spreading period using fuzzy goal programming model. Mathematics, 9.","key":"ref_26","DOI":"10.3390\/math9080835"},{"key":"ref_27","doi-asserted-by":"crossref","first-page":"101695","DOI":"10.1016\/j.frl.2020.101695","article-title":"COVID-19 and optimal portfolio selection for investment in sustainable development goals","volume":"38","author":"Yoshino","year":"2021","journal-title":"Financ. Res. Lett."},{"key":"ref_28","first-page":"74","article-title":"Multi-objective portfolio selection model with diversification by neutrosophic optimization technique","volume":"21","author":"Islam","year":"2018","journal-title":"Neutrosophic Sets Syst."}],"container-title":["Symmetry"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2073-8994\/15\/2\/320\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,7,6]],"date-time":"2023-07-06T13:25:04Z","timestamp":1688649904000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2073-8994\/15\/2\/320"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,1,23]]},"references-count":28,"journal-issue":{"issue":"2","published-online":{"date-parts":[[2023,2]]}},"alternative-id":["sym15020320"],"URL":"https:\/\/doi.org\/10.3390\/sym15020320","relation":{},"ISSN":["2073-8994"],"issn-type":[{"type":"electronic","value":"2073-8994"}],"subject":[],"published":{"date-parts":[[2023,1,23]]}}}