A novel algorithm for uncertain portfolio selection

DOI10.1016/J.AMC.2005.04.074MaRDI QIDQ2489175zbMATH OpenOpenAlexFDO

Authors Jih-Jeng Huang, Gwo-Hshiung Tzeng, Chorng-Shyong Ong

Publication date 16 May 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://ntur.lib.ntu.edu.tw/bitstream/246246/84969/1/3.pdf

zbMATH Keywords

Mean-variance methodMellin transformationPortfolio selectionPossibilistic regression

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(11)

• Fuzzy portfolio selection using fuzzy analytic hierarchy process
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Stock market prediction and portfolio selection models: a survey
• Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
• A novel hybrid model for portfolio selection
• Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
• Fuzzy portfolio selection problem with different borrowing and lending rates
• scientific article; zbMATH DE number 5260784 (Why is no real title available?)
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
• Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach

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