Uncertain portfolio optimization problem under a minimax risk measure
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Publication:1985202
DOI10.1016/j.apm.2019.06.019zbMath1481.91195OpenAlexW2950991265WikidataQ127653390 ScholiaQ127653390MaRDI QIDQ1985202
Grace Aw, Bo Li, Yufei Sun, Kok Lay Teo
Publication date: 7 April 2020
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apm.2019.06.019
Statistical methods; risk measures (91G70) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Portfolio theory (91G10)
Related Items (8)
A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification ⋮ An analytic solution for multi-period uncertain portfolio selection problem ⋮ Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market ⋮ Portfolio optimization using higher moments in an uncertain random environment ⋮ Adams predictor-corrector method for solving uncertain differential equation ⋮ Analysis of a class of dynamic programming models for multi-stage uncertain systems ⋮ The skewness for uncertain random variable and application to portfolio selection problem ⋮ An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
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