Direct data-based decision making under uncertainty

DOI10.1016/J.EJOR.2017.11.021MaRDI QIDQ1754229zbMATH OpenOpenAlexFDO

Authors Bogdan Grechuk, Michael Zabarankin

Publication date 30 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2381/40793

zbMATH Keywords

time seriesmean-variance analysisportfolio optimizationdecision making under uncertaintyutility theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Decision theory (91B06) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Portfolio theory (91G10) General considerations in statistical decision theory (62C05)

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Cites work

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Cited in

(6)

• Modelling distributed decision-making in command and control using stochastic network synchronisation
• scientific article; zbMATH DE number 773962 (Why is no real title available?)
• Editorial. Uncertainty and three-way decision in data science
• Portfolio models for optimizing drawdown duration
• On the solution uniqueness in portfolio optimization and risk analysis
• scientific article; zbMATH DE number 1531814 (Why is no real title available?)

Describes a project that uses

Uses Software

• ITSM2000
• Portfolio Safeguard
• itsmr

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