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

DOI10.1007/S12190-010-0409-4MaRDI QIDQ545598zbMATH OpenOpenAlexFDO

Authors 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

portfolio selectionfuzzy programmingmomentexpectationquadratic parametric programming

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3748742 (Why is no real title available?)
• A class of multi-period semi-variance portfolio selection with a four-factor futures price model
• A fuzzy goal programming approach to portfolio selection
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• Expected Value Operator of Random Fuzzy Variable and Random Fuzzy Expected Value Models
• Fuzzy chance-constrained portfolio selection
• Fuzzy compromise programming for portfolio selection
• Fuzzy contactability and fuzzy variables
• Fuzzy sets
• Fuzzy sets as a basis for a theory of possibility
• Fuzzy variables
• Mean-variance models for portfolio selection with fuzzy random returns
• Neural network-based mean-variance-skewness model for portfolio selection
• Portfolio selection and asset pricing
• The Lebesgue-Stieltjes Integral
• The revised algorithms of fuzzy variance and an application to portfolio selection
• Uncertainty theory. An introduction to its axiomatic foundations.

Cited in

(7)

• Portfolio selection under higher moments using fuzzy multi-objective linear programming
• A new risk criterion in fuzzy environment and its application
• A new quadratic deviation of fuzzy random variable and its application to portfolio optimization
• The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection
• Optimizing fuzzy portfolio selection problems by parametric quadratic programming
• Two-stage fuzzy portfolio selection problem with transaction costs
• Portfolio selection based on distance between fuzzy variables

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