Multi-period mean-semivariance portfolio optimization based on uncertain measure
From MaRDI portal
Publication:2318547
DOI10.1007/s00500-018-3281-zzbMath1418.91458OpenAlexW2806935515MaRDI QIDQ2318547
Wei Chen, Dan-Dan Li, Shan Lu, Wei-Yi Liu
Publication date: 15 August 2019
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00500-018-3281-z
uncertain variableimperialist competitive algorithmcardinality constraintmulti-period portfolio optimizationsemivariance
Related Items
An analytic solution for multi-period uncertain portfolio selection problem ⋮ Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models ⋮ Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints ⋮ Portfolio optimization in real financial markets with both uncertainty and randomness ⋮ An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences ⋮ Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity ⋮ Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning ⋮ A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
Cites Work
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- A risk index model for multi-period uncertain portfolio selection
- Multi-period cardinality constrained portfolio selection models with interval coefficients
- Shortest path problem with uncertain arc lengths
- A fuzzy portfolio selection method based on possibilistic mean and variance
- On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- A class of multi-period semi-variance portfolio selection with a four-factor futures price model
- Variance vs downside risk: Is there really that much difference?
- Multi-stage stochastic linear programs for portfolio optimization
- Computation of mean-semivariance efficient sets by the critical line algorithm
- The efficient frontier for bounded assets
- Heuristics for cardinality constrained portfolio optimization
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
- Mean-risk model for uncertain portfolio selection with background risk
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Application of imperialist competitive algorithm on solving the traveling salesman problem
- The \(\alpha\)-cost minimization model for capacitated facility location-allocation problem with uncertain demands
- Asian option pricing problems of uncertain mean-reverting stock model
- A possibilistic approach to selecting portfolios with highest utility score
- A risk index model for portfolio selection with returns subject to experts' estimations
- Single-period inventory problem under uncertain environment
- A stochastic programming approach for multi-period portfolio optimization
- Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty
- Optimizing an inventory model with fuzzy demand, backordering, and discount using a hybrid imperialist competitive algorithm
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- Dynamic mean-variance portfolio selection with borrowing constraint
- Uncertain portfolio adjusting model using semiabsolute deviation
- A mean-reverting currency model in an uncertain environment
- Fuzzy portfolio selection using genetic algorithm
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Uncertain programming models for portfolio selection with uncertain returns
- Diversified models for portfolio selection based on uncertain semivariance
- Mean-variance-skewness model for portfolio selection with transaction costs
- Uncertain portfolio selection with high-order moments
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
- Uncertainty theory
