Fuzzy portfolio optimization. Theory and methods
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Publication:932089
zbMath1154.91023MaRDI QIDQ932089
Yong Fang, Kin Keung Lai, Shou-Yang Wang
Publication date: 8 July 2008
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)
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Value of information in portfolio selection, with a Taiwan stock market application illustration ⋮ Foundational contributions of K. Asai and H. Tanaka to fuzzy optimization ⋮ Multi-criteria group decision-making for portfolio allocation with consensus reaching process under interval type-2 fuzzy environment ⋮ Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms ⋮ A possibilistic portfolio model with fuzzy liquidity constraint ⋮ Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case ⋮ Two approaches of solving linear programming with fuzzy parameters ⋮ Multi-period cardinality constrained portfolio selection models with interval coefficients ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ A portfolio selection model using fuzzy returns ⋮ Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model ⋮ Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
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