A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios

DOI10.1016/j.physa.2016.08.009zbMath1400.91572OpenAlexW2513225097MaRDI QIDQ1620084

Wei Yue, Yuping Wang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.08.009

zbMATH Keywords

entropyportfolio selectionfuzzy variablepossibilistic momentsmulti-objective evolutionary algorithm

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (8)

Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude ⋮ Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints ⋮ Decision making for portfolio selection by fuzzy multi criteria linear programming ⋮ Uncertain random portfolio selection with high order moments ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures ⋮ Option implied moments obtained through fuzzy regression

Cites Work

• Unnamed Item
• Diversified portfolios with different entropy measures
• A fuzzy portfolio selection model with background risk
• Elementary fuzzy calculus
• Portfolio rebalancing model using multiple criteria
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• Fuzzy portfolio optimization under downside risk measures
• Asymptotic analysis for target asset portfolio allocation with small transaction costs
• Multi-objective possibilistic model for portfolio selection with transaction cost
• Global optimization of higher order moments in portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Measures of entropy and fuzziness related to aggregation operators
• An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
• On weighted possibilistic mean and variance of fuzzy numbers
• The possibilistic moments of fuzzy numbers and their applications
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
• Moments and semi-moments for fuzzy portfolio selection
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Portfolio selection with higher moments
• Independent Factor Autoregressive Conditional Density Model

This page was built for publication: A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios