Probabilistic optimization with application to portofolio selection

MaRDI QIDQ5263026zbMATH OpenFDO

Authors Costin Popescu, Cristinca Fulga

Publication date 10 July 2015

zbMATH Keywords

linear programmingfuzzy numberportfolio selectionpossibilistic mean value

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Theory of fuzzy sets, etc. (03E72) Linear programming (90C05) Nonlinear programming (90C30) Portfolio theory (91G10)

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Cited in

(11)

• A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
• Portfolio optimization for cointelated pairs: SDEs vs Machine learning
• On fuzzy portfolio selection problems: a parametric representation approach
• Benchmarking the performance of portfolio optimization with QAOA
• BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION
• Bayesian adaptive portfolio optimization
• On product of positive \(L\)-\(R\) fuzzy numbers and its application to multi-period portfolio selection problems
• A selection portfolio problem with fuzzy linear exponential distribution
• A PROMETHEE-based approach to portfolio selection problems
• Probability maximization models for portfolio selection under ambiguity
• Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model

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