Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

DOI10.1016/j.ejor.2015.03.017zbMath1346.91219OpenAlexW2131498009MaRDI QIDQ319614

Zhongfeng Qin

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.03.017

zbMATH Keywords

portfolio optimizationuncertainty modelingmean-variance modeluncertain variableuncertain measure

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10)

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Uses Software

• Matlab

Cites Work

• A risk index model for multi-period uncertain portfolio selection
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• Uncertain calculus with renewal process
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• Single-period inventory problem under uncertain environment
• On the convergence of uncertain sequences
• Uncertain portfolio adjusting model using semiabsolute deviation
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• Fuzzy chance-constrained portfolio selection
• The uncertain premium principle based on the distortion function
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
• Risk Index in Uncertain Random Risk Analysis
• SOME PROPERTIES OF CONTINUOUS UNCERTAIN MEASURE
• Uncertainty theory

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