A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
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Publication:2154315
DOI10.1007/s00500-020-05010-7zbMath1492.91326OpenAlexW3026728987MaRDI QIDQ2154315
Hirofumi Fukuyama, Madjid Tavana, Rashed Khanjani Shiraz
Publication date: 19 July 2022
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00500-020-05010-7
value-at-riskportfolio selectioncredibility measureconditional value-at-risknecessity measurepossibility measurerandom-fuzzy variable
Statistical methods; risk measures (91G70) Nonlinear programming (90C30) Stochastic programming (90C15) Portfolio theory (91G10)
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