LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

DOI10.1142/S0218488522500106OpenAlexW4224211627MaRDI QIDQ5877184FDOQ5877184

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

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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)

Cites Work

• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Risk curve and fuzzy portfolio selection
• Uncertainty theory
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Fuzzy arithmetic on LR fuzzy numbers with applications to fuzzy programming
• Mean-semivariance models for fuzzy portfolio selection
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
• A risk index model for portfolio selection with returns subject to experts' estimations
• Mean-risk model for uncertain portfolio selection
• Portfolio selection with a new definition of risk
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• VaR optimal portfolio with transaction costs
• Expected Value Operator of Random Fuzzy Variable and Random Fuzzy Expected Value Models
• A survey of credibility theory
• Title not available (Why is that?)
• A risk index to find the optimal uncertain random portfolio
• On minimum-risk problems in fuzzy random decision systems
• A new risk criterion in fuzzy environment and its application
• Moments and semi-moments for fuzzy portfolio selection
• Uncertain random portfolio selection based on risk curve
• Arithmetic operations for LR mixed fuzzy random variables via mean chance measure with applications

Cited In (2)

• A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
• Nash equilibrium in fuzzy random bi-matrix games

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