Forecasting portfolio returns using weighted fuzzy time series methods

DOI10.1016/J.IJAR.2016.03.007MaRDI QIDQ289002zbMATH OpenOpenAlexFDO

Authors Abel Rubio, J. D. Bermúdez, E. Vercher

Publication date 27 May 2016

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2016.03.007

zbMATH Keywords

forecastingfuzzy setsfuzzy time seriesportfolio returnspossibilistic moments

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Inference from stochastic processes and fuzziness (62M86) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1293544 (Why is no real title available?)
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Cited in

(4)

• Portfolio compromise programming based on fuzzy time series
• A portfolio optimization model based on information entropy and fuzzy time series
• Designing fuzzy time series forecasting models: a survey
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures

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Uses Software

• expsmooth

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