Probabilistic optimization with application to portofolio selection

MaRDI QIDQ5263026zbMATH OpenFDO

Authors Costin Popescu, Cristinca Fulga

Publication date 10 July 2015

zbMATH Keywords

fuzzy numberlinear programmingportfolio selectionpossibilistic mean value

Mathematics Subject Classification ID

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

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Cited in

(11)

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

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