A selection portfolio problem with fuzzy linear exponential distribution

MaRDI QIDQ2884172zbMATH OpenFDO

Authors Ilie Marinescu, I. M. Stancu-Minasian

Publication date 24 May 2012

Published in Mathematical Reports (Search for Journal in Brave)

zbMATH Keywords

concave transaction costfuzzy probabilityportfolio optimizationrebalancing

Mathematics Subject Classification ID

Fuzzy probability (60A86) Nonconvex programming, global optimization (90C26) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Recommendations

• Portfolio selection based on upper and lower exponential possibility distributions
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• Probabilistic optimization with application to portofolio selection

Cited in

(1)

• A chance multiobjective problem with Weibull fuzzy distribution

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