Spread of fuzzy variable and expectation-spread model for fuzzy portfolio optimization problem

DOI10.1007/s12190-010-0409-4zbMath1231.91416OpenAlexW2014424419MaRDI QIDQ545598

Xiao-Li Wu, Yan-Kui Liu

Publication date: 22 June 2011

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-010-0409-4

zbMATH Keywords

momentfuzzy programmingportfolio selectionexpectationquadratic parametric programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (6)

A new quadratic deviation of fuzzy random variable and its application to portfolio optimization ⋮ Two-stage fuzzy portfolio selection problem with transaction costs ⋮ Optimizing fuzzy portfolio selection problems by parametric quadratic programming ⋮ Portfolio selection based on distance between fuzzy variables ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ A new risk criterion in fuzzy environment and its application

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