Mean-risk-skewness models for portfolio optimization based on uncertain measure

DOI10.1080/02331934.2018.1426577zbMath1410.91435OpenAlexW2790357409MaRDI QIDQ4643691

Hongru Wu, Manying Bai, Jia Zhai

Publication date: 28 May 2018

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2018.1426577

zbMATH Keywords

portfolio optimizationuncertain programminguncertain variablemean-risk-skewness model

Mathematics Subject Classification ID

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

Related Items (5)

Uncertain random portfolio selection with high order moments ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ International portfolio optimization based on uncertainty theory ⋮ Uncertain portfolio optimization problem under a minimax risk measure ⋮ The skewness for uncertain random variable and application to portfolio selection problem

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