Uncertain portfolio optimization problem under a minimax risk measure

DOI10.1016/J.APM.2019.06.019zbMATH Open1481.91195OpenAlexW2950991265WikidataQ127653390 ScholiaQ127653390MaRDI QIDQ1985202FDOQ1985202

Kok Lay Teo, Grace Aw, Bo Li, Yufei Sun

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

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zbMATH Keywords

portfolio optimizationanalytic solutionuncertain variableminimax risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stochastic programming (90C15) Minimax problems in mathematical programming (90C47)

Cites Work

• Portfolio selection based on fuzzy cross-entropy
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Uncertainty theory
• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
• Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Fuzzy portfolio optimization under downside risk measures
• Uncertain portfolio adjusting model using semiabsolute deviation
• UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
• Portfolio optimization using a new probabilistic risk measure
• A multi-period fuzzy portfolio optimization model with minimum transaction lots
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Portfolio Optimization Under a Minimax Rule
• Risk management strategies via minimax portfolio optimization
• Mean-risk model for uncertain portfolio selection with background risk
• UNCERTAIN DECISION MAKING AND ITS APPLICATION TO PORTFOLIO SELECTION PROBLEM
• Triangular entropy of uncertain variables with application to portfolio selection
• Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
• Mean-risk-skewness models for portfolio optimization based on uncertain measure
• Diversified models for portfolio selection based on uncertain semivariance
• Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
• Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility
• Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint

Cited In (11)

• An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
• A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
• Optimal portfolio problem with unknown dependency structure
• Portfolio optimization using higher moments in an uncertain random environment
• Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
• The skewness for uncertain random variable and application to portfolio selection problem
• Analysis of a class of dynamic programming models for multi-stage uncertain systems
• A possibilistic programming approach to portfolio optimization problem under fuzzy data
• Adams predictor-corrector method for solving uncertain differential equation
• Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market
• An analytic solution for multi-period uncertain portfolio selection problem

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