Portfolio selection problems with random fuzzy variable returns
From MaRDI portal
Publication:1043260
DOI10.1016/j.fss.2008.11.010zbMath1186.91193OpenAlexW1988106480MaRDI QIDQ1043260
Hideki Katagiri, Hiroaki Ishii, Takashi Hasuike
Publication date: 7 December 2009
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.fss.2008.11.010
Nonlinear programming (90C30) Quadratic programming (90C20) Stochastic programming (90C15) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)
Related Items (24)
Forecasting portfolio returns using weighted fuzzy time series methods ⋮ A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk ⋮ Multiobjective project portfolio selection with fuzzy constraints ⋮ MEAN-SEMIVARIANCE MODELS FOR PORTFOLIO OPTIMIZATION PROBLEM WITH MIXED UNCERTAINTY OF FUZZINESS AND RANDOMNESS ⋮ On fuzzy portfolio selection problems: a parametric representation approach ⋮ Multiobjective expected value model for portfolio selection in fuzzy environment ⋮ A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection ⋮ Expected value multiobjective portfolio rebalancing model with fuzzy parameters ⋮ Risk-controlled multiobjective portfolio selection problem using a principle of compromise ⋮ Moments and semi-moments for fuzzy portfolio selection ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse ⋮ Portfolio optimization in real financial markets with both uncertainty and randomness ⋮ Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ Robust-based interactive portfolio selection problems with an uncertainty set of returns ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Mean-risk model for uncertain portfolio selection ⋮ UNCERTAINTY PORTFOLIO MODEL IN CROSS CURRENCY MARKETS ⋮ A new portfolio selection model with interval-typed random variables and the empirical analysis ⋮ Random credibilitic portfolio selection problem with different convex transaction costs ⋮ Portfolio selection problems with random fuzzy variable returns ⋮ A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control ⋮ The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Decision-maker's preferences modeling in the stochastic goal programming
- Two new models for portfolio selection with stochastic returns taking fuzzy information
- Fuzzy portfolio optimization under downside risk measures
- Portfolio selection problems with random fuzzy variable returns
- Fuzzy and stochastic programming
- Distributional efficiency in multiobjective stochastic linear programming
- A mean-absolute deviation-skewness portfolio optimization model
- Viability of infeasible portfolio selection problems: A fuzzy approach
- On fuzzy random linear knapsack problems
- Portfolio selection based on upper and lower exponential possibility distributions
- A possibilistic approach to selecting portfolios with highest utility score
- Theory and practice of uncertain programming
- Dominance and efficiency in multicriteria decision under uncertainty
- Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
- Portfolio selection based on fuzzy probabilities and possibility distributions
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Possibilistic–Probabilistic Models and Methods of Portfolio Optimization
- Application of goal programming in a multi-objective reservoir operation model in Tunisia
- On possibilistic mean value and variance of fuzzy numbers
This page was built for publication: Portfolio selection problems with random fuzzy variable returns
