An expected regret minimization portfolio selection model
From MaRDI portal
Publication:439531
DOI10.1016/j.ejor.2011.11.015zbMath1244.91083MaRDI QIDQ439531
Zhongfeng Qin, Biying Shou, Xiang Li
Publication date: 16 August 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.11.015
portfolio selection; credibility measure; fuzzy variable; uncertainty modeling; worst regret criterion
90B50: Management decision making, including multiple objectives
90C70: Fuzzy and other nonstochastic uncertainty mathematical programming
91G10: Portfolio theory
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