Uncertainty portfolio model in cross currency markets

DOI10.1142/S0218488510006787MaRDI QIDQ3070075zbMATH OpenFDO

Authors Weidong Xu, Hongyi Li, Weijun Xu, Wei-Guo Zhang

Publication date 2 February 2011

Published in International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

zbMATH Keywords

fuzzy numbersportfolio selectionfuzzy programmingfuzzy efficient frontier

Mathematics Subject Classification ID

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

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Cites work

• A possibilistic approach to selecting portfolios with highest utility score
• Decision-Making in a Fuzzy Environment
• Fuzzy sets
• Fuzzy sets as a basis for a theory of possibility
• On possibilistic mean value and variance of fuzzy numbers
• On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Portfolio selection based on upper and lower exponential possibility distributions
• Portfolio selection problems with random fuzzy variable returns
• Portfolio selection under independent possibilistic information
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Robust Portfolio Selection Problems
• Safety First and the Holding of Assets
• Viability of infeasible portfolio selection problems: A fuzzy approach

Cited in

(2)

• International portfolio selection model with exchange rate risk
• Fuzzy trading system on the forex market for deriving the portfolio of instruments

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