A new uncertain random portfolio optimization model for complex systems with downside risks and diversification

DOI10.1016/J.CHAOS.2022.112213zbMATH Open1504.91304OpenAlexW4281249353MaRDI QIDQ2113034FDOQ2113034

Authors Bo Li, Xiangfa Li, Peiyao Zheng, Kok Lay Teo

Publication date 12 January 2023

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2022.112213

zbMATH Keywords

value at risk portfolio selection uncertainty theory NSGA-II algorithm uncertain random model

Mathematics Subject Classification ID

Financial markets (91G15) Credit risk (91G40) Risk models (general) (91B05)

Recommendations

Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
Optimization of dynamic portfolio under model uncertainty
Uncertain random mean-variance-skewness models for the portfolio optimization problem
Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
scientific article; zbMATH DE number 6379370
Portfolio optimization in real financial markets with both uncertainty and randomness
Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

Cites work

A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
A new perspective for optimal portfolio selection with random fuzzy returns
A risk index model for multi-period uncertain portfolio selection
A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
Fuzzy multi-period portfolio selection optimization models using multiple criteria
Fuzzy sets
LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve
Mean-risk model for uncertain portfolio selection
Mean-risk model for uncertain portfolio selection with background risk
Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Mean-variance models for portfolio selection with fuzzy random returns
Mean-variance-skewness model for portfolio selection with fuzzy returns
Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
Multi-period mean-semivariance portfolio optimization based on uncertain measure
Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
Parameter estimation of uncertain differential equation with application to financial market
Portfolio optimization in real financial markets with both uncertainty and randomness
Portfolio optimization using a new probabilistic risk measure
Portfolio selection with a new definition of risk
Risk model with fuzzy random individual claim amount
The skewness for uncertain random variable and application to portfolio selection problem
Uncertain portfolio adjusting model using semiabsolute deviation
Uncertain random portfolio selection based on risk curve
Uncertain random variables: a mixture of uncertainty and randomness
Uncertainty theory
VaR optimal portfolio with transaction costs
Valuing currency swap contracts in uncertain financial market

Cited in

(2)

Optimal control and zero-sum game subject to differential equations with Liu processes and random matrices
Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers

This page was built for publication: A new uncertain random portfolio optimization model for complex systems with downside risks and diversification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2113034)