Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty
DOI10.1016/J.INS.2016.12.033zbMATH Open1431.91371OpenAlexW2561166280MaRDI QIDQ2292986FDOQ2292986
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
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particle swarm optimizationmulti-period portfolio selectionfuzzy random variablesdynamic risk/expected-return level
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)
Cites Work
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Cited In (13)
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- 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 risk index model for multi-period uncertain portfolio selection
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models
- Title not available (Why is that?)
- 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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