A new risk criterion in fuzzy environment and its application

DOI10.1016/j.apm.2011.09.081zbMath1252.91054OpenAlexW2038099648MaRDI QIDQ693392

Yanju Chen, Yan-Kui Liu, Xiao-Li Wu

Publication date: 7 December 2012

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2011.09.081

zbMATH Keywords

fractional programmingdomain decomposition methodrisk measureabsolute semi-deviationfuzzy portfolio optimizationpseudo-convexity

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

Related Items (11)

A new quadratic deviation of fuzzy random variable and its application to portfolio optimization ⋮ Studying interconnections between two classes of two-stage fuzzy optimization problems ⋮ Credibilistic extensive game with fuzzy payoffs ⋮ Portfolio selection based on distance between fuzzy variables ⋮ Credibilistic loss aversion Nash equilibrium for bimatrix games with triangular fuzzy payoffs ⋮ A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms ⋮ A risk index to find the optimal uncertain random portfolio ⋮ LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

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