Model of a minimal risk portfolio under hybrid uncertainty

MaRDI QIDQ5068889zbMATH OpenFDO

Authors A. V. Yazenin, Ilia S. Soldatenko

Publication date 7 April 2022

zbMATH Keywords

fuzzy random variablehybrid uncertaintyminimum risk portfolionecessitypossibilitystrongest \(t\)-normweakest \(t\)-norm

Mathematics Subject Classification ID

Mathematical economics and fuzziness (91B86) Portfolio theory (91G10)

Recommendations

• Investigation of the minimum risk portfolio under conditions of hybrid uncertainty based on the weakest t-norm
• On the behavior of the set of quasi-efficient portfolios in the possibilistic-probabilistic model depending on levels of possibilities and probabilities
• A Risk-Minimizing Model Under Uncertainty in Portfolio
• The problem of possibilistic-probabilistic optimization
• Investigation of a two-dimensional model of a securities portfolio under a condition of hybrid uncertainty

Cited in

(7)

• The effect of prudence on the optimal allocation in possibilistic and mixed models
• The problem of possibilistic-probabilistic optimization
• Investigation of a two-dimensional model of a securities portfolio under a condition of hybrid uncertainty
• On the behavior of the set of quasi-efficient portfolios in the possibilistic-probabilistic model depending on levels of possibilities and probabilities
• Investigation of the minimum risk portfolio under conditions of hybrid uncertainty based on the weakest t-norm
• A Risk-Minimizing Model Under Uncertainty in Portfolio
• On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

This page was built for publication: Model of a minimal risk portfolio under hybrid uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5068889)