Fuzzy portfolio selection including cardinality constraints and integer conditions

DOI10.1007/S10957-016-0902-5MaRDI QIDQ306331zbMATHOpenAlexWikidataFDO

Authors Clara Calvo, C. Ivorra, V. Liern

Publication date 31 August 2016

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-016-0902-5

zbMATH Keywords

portfolio selectionefficient frontierfuzzy optimizationnonlinear integer programming

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 1293544 (Why is no real title available?)
• scientific article; zbMATH DE number 1163816 (Why is no real title available?)
• Exact and heuristic procedures for solving the fuzzy portfolio selection problem
• Multi-objective possibilistic model for portfolio selection with transaction cost
• Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
• On the computation of the efficient frontier of the portfolio selection problem
• Pareto-optimal solutions in fuzzy multi-objective linear programming
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
• Viability of infeasible portfolio selection problems: A fuzzy approach

Cited in

(1)

• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures

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