Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints

DOI10.1016/J.FSS.2014.07.018zbMATH Open1335.91074OpenAlexW1978565931MaRDI QIDQ279474FDOQ279474

Authors: Peng Zhang, Wei-Guo Zhang 

Publication date: 28 April 2016

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2014.07.018

Recommendations

• Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
• Multiperiod credibilitic mean semi-absolute deviation portfolio selection
• Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
• scientific article; zbMATH DE number 6311039
• scientific article

zbMATH Keywords

fuzzy numbercardinality constraintsdiscrete approximate iteration methodmean absolute deviationmultiperiod fuzzy portfolio selection

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

Cites Work

• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Default reasoning and possibility theory
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Risk curve and fuzzy portfolio selection
• Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
• Title not available (Why is that?)
• An interval portfolio selection problem based on regret function
• Multi-period portfolio optimization with linear control policies
• A class of multi-period semi-variance portfolio selection with a four-factor futures price model
• Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
• Dynamic portfolio optimization with risk control for absolute deviation model
• Portfolio selection under independent possibilistic information
• Viability of infeasible portfolio selection problems: A fuzzy approach
• Portfolio selection based on upper and lower exponential possibility distributions
• Computational study of a family of mixed-integer quadratic programming problems
• A possibilistic approach to selecting portfolios with highest utility score
• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
• Fuzzy multi-period portfolio selection optimization models using multiple criteria
• A local relaxation method for the cardinality constrained portfolio optimization problem
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
• Heuristic algorithms for the cardinality constrained efficient frontier
• A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
• Possibilistic mean-standard deviation models to portfolio selection for bounded assets
• Robust multiperiod portfolio management in the presence of transaction costs
• A new method for mean-variance portfolio optimization with cardinality constraints
• Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
• On admissible efficient portfolio selection: models and algorithms
• Worst-case robust decisions for multi-period mean-variance portfolio optimization
• Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
• Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
• Title not available (Why is that?)
• Title not available (Why is that?)
• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• On possibilistic mean value and variance of fuzzy numbers
• On fuzzy portfolio selection problems
• On admissible efficient portfolio selection problem
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• Algorithm for cardinality-constrained quadratic optimization
• Portfolio selection using neural networks
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Multi-period optimization portfolio with bankruptcy control in stochastic market
• Fuzzy portfolio optimization under downside risk measures
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• Mean-semivariance models for fuzzy portfolio selection
• Multi-period semi-variance portfolio selection: model and numerical solution

Cited In (25)

• Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
• A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
• Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
• Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
• A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty
• Methods for MADM with picture fuzzy Muirhead mean operators and their application for evaluating the financial investment risk
• DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
• A Study on Portfolio Selection Based on Fuzzy Linear Programming
• Uncertain portfolio optimization problem under a minimax risk measure
• Estimation of fuzzy portfolio efficiency via an improved DEA approach
• Dynamic portfolio optimization with risk control for absolute deviation model
• A multi-objective robust possibilistic programming approach to sustainable public transportation network design
• Credibilistic multi-period portfolio optimization based on scenario tree
• Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
• A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude
• Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
• Title not available (Why is that?)
• Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
• Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
• A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
• Random credibilitic portfolio selection problem with different convex transaction costs
• Multiperiod credibilitic mean semi-absolute deviation portfolio selection
• Multiperiod mean-absolute deviation credibility portfolio optimization with chance constraint
• Performance evaluation of portfolios with fuzzy returns

This page was built for publication: Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q279474)