Moments and semi-moments for fuzzy portfolio selection

DOI10.1016/j.insmatheco.2012.07.003zbMath1285.91123OpenAlexW2039324903MaRDI QIDQ2447405

Jules Sadefo Kamdem, Louis Aimé Fono, Christian Tassak Deffo

Publication date: 25 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.003

Mathematics Subject Classification ID

Related Items (13)

Estimation of fuzzy portfolio efficiency via an improved DEA approach ⋮ Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem ⋮ A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return ⋮ Fuzzy portfolio optimization model under real constraints ⋮ Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion ⋮ Performance evaluation of portfolios with fuzzy returns ⋮ Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures ⋮ A risk index to find the optimal uncertain random portfolio ⋮ The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection ⋮ LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

Cites Work

• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Mean-semivariance models for fuzzy portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Portfolio selection problems with random fuzzy variable returns
• Fuzzy sets as a basis for a theory of possibility
• A mean-absolute deviation-skewness portfolio optimization model
• Portfolio selection based on upper and lower exponential possibility distributions
• Theory and practice of uncertain programming
• Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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