Mean-chance model for portfolio selection based on uncertain measure

DOI10.1016/j.insmatheco.2014.10.001zbMath1306.91127OpenAlexW2069011278MaRDI QIDQ2514624

Xiaoxia Huang, Tianyi Zhao

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.001

zbMATH Keywords

genetic algorithmportfolio selectionuncertain programminguncertain variablemean-chance model

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20) Portfolio theory (91G10)

Related Items (16)

Uncertain random mean–variance–skewness models for the portfolio optimization problem ⋮ Uncertain random portfolio selection based on risk curve ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ A risk index model for uncertain portfolio selection with background risk ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Uncertain random portfolio selection with high order moments ⋮ Diversified models for portfolio selection based on uncertain semivariance ⋮ Uncertain portfolio selection with background risk ⋮ International portfolio optimization based on uncertainty theory ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ Uncertain portfolio selection with background risk and liquidity constraint ⋮ Stochastic portfolio selection problem with reliability criteria ⋮ A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions ⋮ Portfolio selection of uncertain random returns based on value at risk ⋮ A risk index to find the optimal uncertain random portfolio ⋮ Uncertain portfolio selection with mental accounts

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