LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

DOI10.1142/S0218488522500106MaRDI QIDQ5877184zbMATH OpenOpenAlexFDO

Authors Rouhollah Mehralizade, Akbar Mehralizade

Publication date 3 February 2023

Published in International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218488522500106

zbMATH Keywords

optimizationsensitivity analysismean-risk modelrisk curveLR mixed fuzzy random portfolio selectionLR mixed fuzzy random variable

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Mathematical economics and fuzziness (91B86)

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Cites work

• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• A new risk criterion in fuzzy environment and its application
• A risk index model for portfolio selection with returns subject to experts' estimations
• A risk index to find the optimal uncertain random portfolio
• A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
• A survey of credibility theory
• Arithmetic operations for LR mixed fuzzy random variables via mean chance measure with applications
• Expected Value Operator of Random Fuzzy Variable and Random Fuzzy Expected Value Models
• Fuzzy arithmetic on LR fuzzy numbers with applications to fuzzy programming
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• Mean-absolute deviation portfolio selection model with fuzzy returns
• Mean-risk model for uncertain portfolio selection
• Mean-semivariance models for fuzzy portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Moments and semi-moments for fuzzy portfolio selection
• On minimum-risk problems in fuzzy random decision systems
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Portfolio selection with a new definition of risk
• Risk curve and fuzzy portfolio selection
• Uncertain random portfolio selection based on risk curve
• Uncertainty theory
• VaR optimal portfolio with transaction costs

Cited in

(5)

• A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
• Uncertain random portfolio selection based on risk curve
• Risk index based uncertain portfolio selection with monotone increasing multiplicative background risk
• A risk index to find the optimal uncertain random portfolio
• Nash equilibrium in fuzzy random bi-matrix games

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