PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA

DOI10.1501/COMMUA1_0000000861MaRDI QIDQ4630983zbMATH OpenFDO

Authors Sibel Açik Kemaloğlu, Gultac Eroglu Inan, Ayşen Apaydin

Publication date 23 April 2019

Published in Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1501/COMMUA1_0000000861

zbMATH Keywords

mean-variance optimizationrisk aversion formulationrobust

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Portfolio theory (91G10)

Cited in

(1)

• Decision making for portfolio selection by fuzzy multi-criteria linear programming

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