A nonlinear interval portfolio selection model and its application in banks

DOI10.1007/s11424-017-6070-3zbMath1397.91566MaRDI QIDQ1794302

Yaxing Hu, Dawen Yan, Kin Keung Lai

Publication date: 15 October 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-6070-3

zbMATH Keywords

simulation; portfolio selection; semi-variance; downside-risk management; interval return

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

65G30: Interval and finite arithmetic

91G10: Portfolio theory

Related Items

Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach

Uses Software

• Ipopt
• alphaBB

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