Fuzzy portfolio optimization model under real constraints
From MaRDI portal
Publication:2015637
DOI10.1016/j.insmatheco.2013.09.005zbMath1290.91149OpenAlexW2049604148MaRDI QIDQ2015637
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.005
Related Items
A multi-period fuzzy portfolio optimization model with minimum transaction lots, A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk, Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels, Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model, Fast quadratic programming for mean-variance portfolio optimisation, Efficiency evaluation of fuzzy portfolio in different risk measures via DEA, A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs, Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem, Possibilistic mean-variance portfolios versus probabilistic ones: the winner is...
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
- A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
- On admissible efficient portfolio selection problem
- On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
- Mean-semivariance models for fuzzy portfolio selection
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Portfolio selection based on fuzzy cross-entropy
- Fuzzy sets and systems. Theory and applications
- A modified genetic algorithm for optimal control problems
- Rating and ranking of multiple-aspect alternative using fuzzy sets
- Fuzzy programming and linear programming with several objective functions
- Variance vs downside risk: Is there really that much difference?
- The efficient frontier for bounded assets
- Fuzzy portfolio optimization a quadratic programming approach
- A minimax portfolio selection strategy with equilibrium
- A possibilistic approach to selecting portfolios with highest utility score
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- A model for portfolio selection with order of expected returns.
- The possibilistic moments of fuzzy numbers and their applications
- Possibilistic mean-standard deviation models to portfolio selection for bounded assets
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- Moments and semi-moments for fuzzy portfolio selection
- Fuzzy compromise programming for portfolio selection
- An interval portfolio selection problem based on regret function
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- On possibilistic mean value and variance of fuzzy numbers
