Expected model for portfolio selection with random fuzzy returns

DOI10.1080/03081070601176422MaRDI QIDQ3603702zbMATH OpenOpenAlexFDO

Authors Xiaoxia Huang

Publication date 18 February 2009

Published in International Journal of General Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03081070601176422

zbMATH Keywords

portfolio selectionfuzzy programmingmean-variance modelrandom fuzzy programmingrandom programming

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 867338 (Why is no real title available?)
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• A linear programming algorithm for optimal portfolio selection with transaction costs
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• A survey of credibility theory
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• Fuzzy random variables - II. Algorithms and examples for the discrete case
• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Portfolio selection based on upper and lower exponential possibility distributions
• Random fuzzy dependent-chance programming and its hybrid intelligent algorithm
• Random fuzzy renewal process
• Recent progress on stage-structured population dynamics.
• Redundancy optimization problems with uncertainty of combining randomness and fuzziness
• The efficient frontier for bounded assets
• Theory and practice of uncertain programming
• Two new models for portfolio selection with stochastic returns taking fuzzy information
• Uncertainty theory. An introduction to its axiomatic foundations.

Cited in

(16)

• A portfolio selection model using fuzzy returns
• A review of credibilistic portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
• Minimax mean-variance models for fuzzy portfolio selection
• Mean-variance models for portfolio selection with fuzzy random returns
• Portfolio selection problems with random fuzzy variable returns
• Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
• Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness
• Two new models for portfolio selection with stochastic returns taking fuzzy information
• Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
• A new perspective for optimal portfolio selection with random fuzzy returns
• One Type of Optimal Portfolio Selection in Birandom Environments
• Risk curve and bifuzzy portfolio selection
• Weighted portfolio selection models based on possibility theory
• A new portfolio selection model with interval-typed random variables and the empirical analysis

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Uses Software

• Genocop

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