Some new results on value ranges of risks for mean-variance portfolio models

DOI10.1016/J.INS.2013.01.015MaRDI QIDQ2446404zbMATH OpenOpenAlexFDO

Authors Xue Deng, Junfeng Zhao

Publication date 16 April 2014

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2013.01.015

zbMATH Keywords

eigenvalueequal weight portfoliomatrix theoryportfolio mean-variance modelportfolio risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• A New and Efficient Algorithm for a Class of Portfolio Selection Problems
• A portfolio optimization model with three objectives and discrete variables
• A PROMETHEE-based approach to portfolio selection problems
• An application of calculated fuzzy risk
• An expected regret minimization portfolio selection model
• An interval portfolio selection problem based on regret function
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• Fuzzy portfolio selection using fuzzy analytic hierarchy process
• scientific article; zbMATH DE number 3685207 (Why is no real title available?)
• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• Large-Scale Portfolio Optimization
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Modeling and managing portfolios including listed private equity
• On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem
• Portfolio insurance under a risk-measure constraint
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Portfolio separation properties of the skew-elliptical distributions, with generalizations
• Solving a comprehensive model for multiobjective project portfolio selection

Cited in

(2)

• Stock market prediction and portfolio selection models: a survey
• Gradually tolerant constraint method for fuzzy portfolio based on possibility theory

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