Portfolio analysis. From probabilistic to credibilistic and uncertain approaches. (Q847614): Difference between revisions

This monograph contributes to the mathematical models of portfolio investments analysis, namely when the security market is influenced by various types of uncertainty. The portfolio returns and risks are investigated by probabilistic, fuzzy, and several original methods among which the ``risk curve'' method belongs to the novel ones. The application of new approaches to the quantitative analysis of the portfolio investments is supported by detailed explanation of the general uncertainty theory. The volume is parted in five main chapters devoted to the general principles of portfolio selection analysis, a survey of models of that selection, the fundamentals of credibility theory, uncertainty theory, and the extension of the original model by alternative approaches.