Possibilistic–Probabilistic Models and Methods of Portfolio Optimization

DOI10.1007/978-3-540-36247-0_9MaRDI QIDQ3594253zbMATH OpenOpenAlexFDO

Authors A. V. Yazenin

Publication date 7 August 2007

Published in Perception-based Data Mining and Decision Making in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-36247-0_9

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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(12)

• Portfolio selection problems with random fuzzy variable returns
• The problem of possibilistic-probabilistic optimization
• A possibilistic portfolio model with fuzzy liquidity constraint
• Portfolio optimization using a new probabilistic risk measure
• Mean-risk model for uncertain portfolio selection
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• Investigation of a two-dimensional model of a securities portfolio under a condition of hybrid uncertainty
• On the behavior of the set of quasi-efficient portfolios in the possibilistic-probabilistic model depending on levels of possibilities and probabilities
• Probabilistic optimization with application to portofolio selection
• Probability maximization models for portfolio selection under ambiguity

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