Fuzzy random portfolio model with investment limited

zbMATH Open1349.91257MaRDI QIDQ2991609FDOQ2991609

Authors: Qun Zhang, Li Gao, Wei Sun, Wei-Guo Zhang 

Publication date: 10 August 2016

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zbMATH Keywords

portfolioshort salesfuzzy random variablesefficient market

Mathematics Subject Classification ID

Quadratic programming (90C20) Theory of fuzzy sets, etc. (03E72) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Cited In (7)

• A possibilistic portfolio model with fuzzy liquidity constraint
• A dynamic average value-at-risk portfolio model with fuzzy random variables
• Random fuzzy mixture of equally weighted and minimum-variance portfolios selection problem
• A high-moment triangle fuzzy random portfolio model with background risk
• A class of chance constrained multi-objective portfolio selection model under fuzzy random environment
• LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve
• Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model

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