Mean-VaR models and algorithms for fuzzy portfolio selection

DOI10.1007/978-3-642-04962-0_36MaRDI QIDQ3399972zbMATH OpenOpenAlexFDO

Authors Wen Dong, Jin Peng

Publication date 15 January 2010

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04962-0_36

zbMATH Keywords

credibilistic value-at-riskhybrid intelligent algorithmmean-var modelrisk analysis

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

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Cited in

(24)

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• An estimation model of value-at-risk portfolio under uncertainty
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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• Credibilistic value and average value at risk in fuzzy risk analysis
• A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
• The revised algorithms of fuzzy variance and an application to portfolio selection
• Fuzzy risk adjusted performance measures: application to hedge funds
• CVaR reduced fuzzy variables and their second order moments
• Mathematical Approaches for Fuzzy Portfolio Selection Problems with Normal Mixture Distributions
• scientific article; zbMATH DE number 6907566 (Why is no real title available?)
• Mean-AVaR based portfolio balanced analysis
• Average value at risk in fuzzy risk analysis
• Variance minimization model for optimization decision-making of loan portfolio under chance constraints
• Minimax mean-variance models for fuzzy portfolio selection
• scientific article; zbMATH DE number 1791744 (Why is no real title available?)
• A VaR Black-Litterman model for the construction of absolute return fund-of-funds
• Modeling and solving portfolio selection problems based on PVaR
• scientific article; zbMATH DE number 7338636 (Why is no real title available?)
• A dynamic average value-at-risk portfolio model with fuzzy random variables
• The mixture of risk measurement model based on portfolio investment
• Mean-variance-VaR portfolios: MIQP formulation and performance analysis
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis

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