Portfolio selection based on upper and lower exponential possibility distributions
From MaRDI portal
Publication:1809830
The authors consider a new approach to a portfolio selection introducing ideas from the theory of fuzzy sets into the framework of the Markowitz model. It allows to incorporate experts' knowledge and statistically available data. The upper and lower possibility distributions reflect two extreme opinions of experts. The corresponding portfolio selection models are formalized by quadratic optimization problems minimizing spreads of possibility returns subject to the given center returns. A numerical example is given to illustrate the approach.
Recommendations
- Portfolio selection based on fuzzy probabilities and possibility distributions
- A Portfolio Selection Method Based on Possibility Theory
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- A fuzzy portfolio selection method based on possibilistic mean and variance
- Weighted portfolio selection models based on possibility theory
Cites work
- Evidence theory of exponential possibility distributions
- Exponential possibility regression analysis
- Fuzzy data analysis by possibilistic linear models
- Fuzzy sets as a basis for a theory of possibility
- scientific article; zbMATH DE number 193123 (Why is no real title available?)
- Identification of possibilistic linear systems by quadratic membership functions of fuzzy parameters
- Possibilistic linear regression analysis for fuzzy data
Cited in
(70)- A class of possibilistic portfolio selection model with interval coefficients and its application
- Fuzzy portfolio selection using fuzzy analytic hierarchy process
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Portfolio selection based on fuzzy cross-entropy
- Penalty algorithm based on conjugate gradient method for solving portfolio management problem
- A cutting plane algorithm for MV portfolio selection model
- A review of credibilistic portfolio selection
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- A dual-interval vertex analysis method and its application to environmental decision making under uncertainty
- Portfolio selection problems with random fuzzy variable returns
- Possibility distributions of fuzzy decision variables obtained from possibilistic linear programming problems
- Viability of infeasible portfolio selection problems: A fuzzy approach
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Foundational contributions of K. Asai and H. Tanaka to fuzzy optimization
- Risk-controlled multiobjective portfolio selection problem using a principle of compromise
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- On the use of conditional expectation in portfolio selection problems
- A crop planning problem with fuzzy random profit coefficients
- Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
- 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
- Decision analysis based on fused double exponential possibility distributions.
- A risk index model for portfolio selection with returns subject to experts' estimations
- Upper and lower possibility distributions of fuzzy decision variables in upper level decision problems
- A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk
- A fuzzy multifactor asset pricing model
- Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints
- A possibilistic portfolio model with fuzzy liquidity constraint
- On constructing expert Betas for single-index model
- Possibilistic mean-standard deviation models to portfolio selection for bounded assets
- Moments and semi-moments for fuzzy portfolio selection
- Fuzzy risk adjusted performance measures: application to hedge funds
- A new perspective for optimal portfolio selection with random fuzzy returns
- Fuzzy portfolio selection using genetic algorithm
- Asset portfolio optimization using fuzzy mathematical programming
- Fuzzy compromise programming for portfolio selection
- Fuzzy chance-constrained portfolio selection
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- A selection portfolio problem with fuzzy linear exponential distribution
- Forecasting portfolio returns using weighted fuzzy time series methods
- Uncertainty portfolio model in cross currency markets
- Mean-entropy model of uncertain portfolio selection problem
- Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness
- An extension of Sharpe's single-index model: portfolio selection with expert betas
- Expected model for portfolio selection with random fuzzy returns
- Weighted portfolio selection models based on possibility theory
- Fuzzy portfolio selection problem with different borrowing and lending rates
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- An expected regret minimization portfolio selection model
- A mathematical model for identifying an optimal waste management policy under uncertainty
- On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
- Possibilistic mean-variance-skewness portfolio selection models
- Review of fuzzy investment research considering modelling environment and element fusion
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
- Real-time fuzzy regression analysis: a convex hull approach
- A fuzzy goal programming approach to portfolio selection
- Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model
- A Portfolio Selection Methodology Based on Data Envelopment Analysis
- Probability maximization models for portfolio selection under ambiguity
- A new risk criterion in fuzzy environment and its application
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- CAPM with fuzzy returns and hypothesis testing
- A fuzzy portfolio selection method based on possibilistic mean and variance
- Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model
- Two new models for portfolio selection with stochastic returns taking fuzzy information
- Fuzzy portfolio optimization under downside risk measures
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Mean-semivariance models for fuzzy portfolio selection
This page was built for publication: Portfolio selection based on upper and lower exponential possibility distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1809830)
