Uncertain portfolio selection with high-order moments

DOI10.3233/JIFS-17369MaRDI QIDQ4599526zbMATH OpenFDO

Authors Wei Chen, Yun Wang, Jun Zhang, Shan Lu

Publication date 4 January 2018

Published in Journal of Intelligent & Fuzzy Systems (Search for Journal in Brave)

zbMATH Keywords

portfolio selectionuncertain programminghigh-order momentsuncertain variableflower pollination algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(17)

• Uncertain random mean-variance-skewness models for the portfolio optimization problem
• Portfolio selection under higher moments using fuzzy multi-objective linear programming
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• Portfolio optimization using higher moments in an uncertain random environment
• Elliptic entropy of uncertain random variables with application to portfolio selection
• Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Global optimization of higher order moments in portfolio selection
• scientific article; zbMATH DE number 2030514 (Why is no real title available?)
• Portfolio selection with higher moments
• Option implied moments obtained through fuzzy regression
• Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
• Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
• Portfolio selection with possibilistic kurtosis
• Uncertain random portfolio selection with high order moments
• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
• Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection

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