Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
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Publication:319614
DOI10.1016/J.EJOR.2015.03.017zbMATH Open1346.91219OpenAlexW2131498009MaRDI QIDQ319614FDOQ319614
Authors: Zhongfeng Qin 
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.03.017
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Cited In (49)
- Uncertain random mean-variance-skewness models for the portfolio optimization problem
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- Research on probability mean-lower semivariance-entropy portfolio model with background risk
- Uncertain portfolio selection with background risk and liquidity constraint
- Optimal control and zero-sum game subject to differential equations with Liu processes and random matrices
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility
- A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
- Uncertain random portfolio selection based on risk curve
- Uncertain random linear quadratic control with multiplicative and additive noises
- Portfolio optimization in real financial markets with both uncertainty and randomness
- Multistage uncertain random linear quadratic optimal control
- Diversified models for portfolio selection based on uncertain semivariance
- The covariance of uncertain variables: definition and calculation formulae
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- Portfolio optimization using higher moments in an uncertain random environment
- Elliptic entropy of uncertain random variables with application to portfolio selection
- Input-output dynamic model for optimal environmental pollution control
- Modeling of linear uncertain portfolio selection with uncertain constraint and risk index
- Uncertain portfolio selection with mental accounts
- A multiple objective stochastic portfolio selection problem with random beta
- Mean-variance portfolio optimization when means and covariances are unknown
- A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Multi-swarm multi-objective optimizer based on \(p\)-optimality criteria for multi-objective portfolio management
- Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
- Fuzzy multi-period portfolio selection with different investment horizons
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness
- The skewness for uncertain random variable and application to portfolio selection problem
- Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
- Optimal control for uncertain random singular systems with multiple time-delays
- Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
- Title not available (Why is that?)
- Belief degree of optimal models for uncertain single-period supply chain problem
- Title not available (Why is that?)
- Mean-risk model for uncertain portfolio selection with background risk
- Uncertain random assignment problem
- An emergency logistics distribution routing model for unexpected events
- Understanding dynamic mean variance asset allocation
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- A risk index to find the optimal uncertain random portfolio
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- An uncertain support vector machine with imprecise observations
- A novel single-period inventory problem with uncertain random demand and its application
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
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