The skewness for uncertain random variable and application to portfolio selection problem

DOI10.3934/JIMO.2020163MaRDI QIDQ2076451zbMATH OpenOpenAlexFDO

Authors Bo Li, Yadong Shu

Publication date 16 February 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2020163

zbMATH Keywords

uncertaintyskewnessrandomnesschance distributionuncertain random variable

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites work

• A METRIC ON UNCERTAIN VARIABLES
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• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Portfolio selection with skewness: a comparison of methods and a generalized one fund result
• Prospect Theory: An Analysis of Decision under Risk
• Some results of moments of uncertain random variables
• Uncertain portfolio optimization problem under a minimax risk measure
• Uncertain random programming with applications
• Uncertain random variables: a mixture of uncertainty and randomness
• Uncertainty theory

Cited in

(7)

• Uncertain analysis of Monkeypox outbreak in the democratic republic of the Congo
• Tsallis entropy of uncertain sets and its application to portfolio allocation
• A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
• Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
• Mean-risk-skewness models for portfolio optimization based on uncertain measure
• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• Uncertain random portfolio selection with high order moments

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