Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
From MaRDI portal
(Redirected from Publication:319614)
Recommendations
- Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness
- Optimal portfolio selection models with uncertain returns
- Portfolio optimization in real financial markets with both uncertainty and randomness
- Expected model for portfolio selection with random fuzzy returns
- Mean-risk model for uncertain portfolio selection
Cites work
- A possibilistic approach to selecting portfolios with highest utility score
- A risk index model for multi-period uncertain portfolio selection
- A risk index model for portfolio selection with returns subject to experts' estimations
- Asset portfolio optimization using fuzzy mathematical programming
- Extreme value theorems of uncertain process with application to insurance risk model
- Fuzzy chance-constrained portfolio selection
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Multi-objective optimization in uncertain random environments
- On the convergence of uncertain sequences
- Portfolio selection based on fuzzy cross-entropy
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Risk index in uncertain random risk analysis
- SOME PROPERTIES OF CONTINUOUS UNCERTAIN MEASURE
- Single-period inventory problem under uncertain environment
- The uncertain premium principle based on the distortion function
- Uncertain calculus with renewal process
- Uncertain optimal control with application to a portfolio selection model
- Uncertain portfolio adjusting model using semiabsolute deviation
- Uncertain random programming with applications
- Uncertain random variables: a mixture of uncertainty and randomness
- Uncertainty theory
Cited in
(49)- Uncertain portfolio selection with mental accounts
- Mean-variance portfolio optimization when means and covariances are unknown
- Belief degree of optimal models for uncertain single-period supply chain problem
- scientific article; zbMATH DE number 6379370 (Why is no real title available?)
- Portfolio selection of uncertain random returns based on value at risk
- A risk index to find the optimal uncertain random portfolio
- The covariance of uncertain variables: definition and calculation formulae
- A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- Understanding dynamic mean variance asset allocation
- Research on probability mean-lower semivariance-entropy portfolio model with background risk
- Multistage uncertain random linear quadratic optimal control
- Uncertain portfolio selection with background risk and liquidity constraint
- The skewness for uncertain random variable and application to portfolio selection problem
- Input-output dynamic model for optimal environmental pollution control
- Multi-swarm multi-objective optimizer based on \(p\)-optimality criteria for multi-objective portfolio management
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Modeling of linear uncertain portfolio selection with uncertain constraint and risk index
- Stock portfolio selection hybridizing fuzzy base-criterion method and evidence theory in triangular fuzzy environment
- scientific article; zbMATH DE number 5674947 (Why is no real title available?)
- Uncertain random mean-variance-skewness models for the portfolio optimization problem
- A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
- Uncertain random linear quadratic control with multiplicative and additive noises
- A novel single-period inventory problem with uncertain random demand and its application
- Diversified models for portfolio selection based on uncertain semivariance
- Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
- An uncertain support vector machine with imprecise observations
- Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness
- Portfolio optimization in real financial markets with both uncertainty and randomness
- Uncertain random portfolio selection based on risk curve
- Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
- Inverse portfolio problem with mean-deviation model
- Fuzzy multi-period portfolio selection with different investment horizons
- Mean-risk model for uncertain portfolio selection with background risk
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Optimal control and zero-sum game subject to differential equations with Liu processes and random matrices
- Uncertain random assignment problem
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- An emergency logistics distribution routing model for unexpected events
- Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Elliptic entropy of uncertain random variables with application to portfolio selection
- Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility
- Uncertain random portfolio selection with high order moments
- A multiple objective stochastic portfolio selection problem with random beta
- Portfolio optimization using higher moments in an uncertain random environment
- Optimal control for uncertain random singular systems with multiple time-delays
This page was built for publication: Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q319614)
