Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty

DOI10.1016/J.INS.2016.12.033MaRDI QIDQ2292986zbMATH OpenOpenAlexFDO

Authors Bo Wang, You Li, Junzo Watada

Publication date 6 February 2020

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2016.12.033

zbMATH Keywords

particle swarm optimizationmulti-period portfolio selectionfuzzy random variablesdynamic risk/expected-return level

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Financial applications of other theories (91G80) Mathematical economics and fuzziness (91B86)

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Cites work

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Cited in

(16)

• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• Fuzzy random multi-objective optimization using a novel mixed fuzzy random inverse DEA model in input-output production
• A new procedure in stock market forecasting based on fuzzy random auto-regression time series model
• A new quadratic deviation of fuzzy random variable and its application to portfolio optimization
• A smoothing algorithm for two-stage portfolio model with second-order stochastic dominance constraints
• A risk index model for multi-period uncertain portfolio selection
• A dynamic average value-at-risk portfolio model with fuzzy random variables
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models
• scientific article; zbMATH DE number 6311039 (Why is no real title available?)
• A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic
• Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
• Random credibilitic portfolio selection problem with different convex transaction costs
• Equilibrium reliability measure for structural design under twofold uncertainty
• On a fuzzy discretization of continuous distributions with applications to risk models
• Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric

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