Portfolio selection problems with random fuzzy variable returns

DOI10.1016/j.fss.2008.11.010zbMath1186.91193MaRDI QIDQ1043260

Takashi Hasuike, Hideki Katagiri, Hiroaki Ishii

Publication date: 7 December 2009

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2008.11.010

zbMATH Keywords

nonlinear programming; portfolio selection problem; random fuzzy programming; chance constraint

Mathematics Subject Classification ID

90C30: Nonlinear programming

90C20: Quadratic programming

90C15: Stochastic programming

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G10: Portfolio theory

Related Items

Multiobjective expected value model for portfolio selection in fuzzy environment, A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection, Portfolio selection problems with random fuzzy variable returns, A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control, Expected value multiobjective portfolio rebalancing model with fuzzy parameters, Moments and semi-moments for fuzzy portfolio selection, Mean-risk model for uncertain portfolio selection, UNCERTAINTY PORTFOLIO MODEL IN CROSS CURRENCY MARKETS, MEAN-SEMIVARIANCE MODELS FOR PORTFOLIO OPTIMIZATION PROBLEM WITH MIXED UNCERTAINTY OF FUZZINESS AND RANDOMNESS

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