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

DOI10.1007/S12190-010-0409-4zbMATH Open1231.91416OpenAlexW2014424419MaRDI QIDQ545598FDOQ545598

Yan-Kui Liu, Xiao-Li Wu

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)

Cites Work

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Cited In (6)

• 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
• 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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