Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
From MaRDI portal
Publication:279474
DOI10.1016/j.fss.2014.07.018zbMath1335.91074OpenAlexW1978565931MaRDI QIDQ279474
F. Blanchet-Sadri, M. Dambrine
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
fuzzy numbercardinality constraintsdiscrete approximate iteration methodmean absolute deviationmultiperiod fuzzy portfolio selection
Applications of mathematical programming (90C90) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)
Related Items
Estimation of fuzzy portfolio efficiency via an improved DEA approach, A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification, Credibilistic multi-period portfolio optimization based on scenario tree, Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints, Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach, A multi-objective robust possibilistic programming approach to sustainable public transportation network design, MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION, Time-consistent multiperiod mean semivariance portfolio selection with the real constraints, Uncertain portfolio optimization problem under a minimax risk measure, DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure, A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty, Performance evaluation of portfolios with fuzzy returns, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection, Multiperiod mean absolute deviation uncertain portfolio selection with real constraints, Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures, Random credibilitic portfolio selection problem with different convex transaction costs, Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity, A Study on Portfolio Selection Based on Fuzzy Linear Programming
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- 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
- Risk curve and fuzzy portfolio selection
- Multi-period semi-variance portfolio selection: model and numerical solution
- 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
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Default reasoning and possibility theory
- 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
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- 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
- An interval portfolio selection problem based on regret function
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- 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
