A novel algorithm for uncertain portfolio selection

DOI10.1016/J.AMC.2005.04.074zbMath1138.91449OpenAlexW2098944164MaRDI QIDQ2489175

Jih-Jeng Huang, Gwo-Hshiung Tzeng, Chorng-Shyong Ong

Publication date: 16 May 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/84969/1/3.pdf

zbMATH Keywords

Mellin transformationPortfolio selectionPossibilistic regressionMean-variance method

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips ⋮ Fuzzy portfolio selection problem with different borrowing and lending rates ⋮ Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas ⋮ Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach ⋮ Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case ⋮ Stock market prediction and portfolio selection models: a survey ⋮ Fuzzy portfolio selection using fuzzy analytic hierarchy process

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