Optimizing fuzzy portfolio selection problems by parametric quadratic programming

DOI10.1007/s10700-012-9126-9zbMath1254.91767MaRDI QIDQ1927278

Xiao-Li Wu, Yan-Kui Liu

Publication date: 31 December 2012

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-012-9126-9

zbMATH Keywords

parametric programming; moment; portfolio selection; parametric possibility distribution; reduced fuzzy variable

Mathematics Subject Classification ID

90C20: Quadratic programming

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G80: Financial applications of other theories

91G10: Portfolio theory

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