An expected regret minimization portfolio selection model

DOI10.1016/j.ejor.2011.11.015zbMath1244.91083MaRDI QIDQ439531

Zhongfeng Qin, Biying Shou, Xiang Li

Publication date: 16 August 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.11.015

zbMATH Keywords

portfolio selection; credibility measure; fuzzy variable; uncertainty modeling; worst regret criterion

Mathematics Subject Classification ID

90B50: Management decision making, including multiple objectives

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G10: Portfolio theory

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