Probability maximization models for portfolio selection under ambiguity
From MaRDI portal
Publication:623758
DOI10.1007/S10100-008-0082-YzbMATH Open1204.91121OpenAlexW2073617694MaRDI QIDQ623758FDOQ623758
Hiroaki Ishii, Takashi Hasuike
Publication date: 8 February 2011
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10100-008-0082-y
Recommendations
- Possibilistic–Probabilistic Models and Methods of Portfolio Optimization
- Optimal portfolio selection models with uncertain returns
- Optimal Programming Models for Portfolio Selection with Uncertain Chance Constraint
- Continuous-time portfolio selection under ambiguity
- Portfolio selection with probabilistic utility
- On the possibilistic approach to a portfolio selection problem
- Probabilistic optimization with application to portofolio selection
- Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- A possibilistic mean {V}a{R} model for portfolio selection
Cites Work
- Multi-objective stochastic programming for portfolio selection
- Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
- Viability of infeasible portfolio selection problems: A fuzzy approach
- Portfolio selection based on upper and lower exponential possibility distributions
- Portfolio selection based on fuzzy probabilities and possibility distributions
- Title not available (Why is that?)
- Decision-maker's preferences modeling in the stochastic goal programming
- A mean-absolute deviation-skewness portfolio optimization model
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- On fuzzy random linear knapsack problems
- Title not available (Why is that?)
- On Linear Semi-Infinite Programming Problems: An Algorithm
- Ambiguity in portfolio selection
- Distributional efficiency in multiobjective stochastic linear programming
- Dominance and efficiency in multicriteria decision under uncertainty
- Application of goal programming in a multi-objective reservoir operation model in Tunisia
- An interactive satisficing method for solving multiobjective mixed fuzzy-stochastic programming problems
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (9)
- Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model
- Crop planning optimization model: the validation and verification processes
- Revisions of modern portfolio theory optimization model
- Portfolio performance measurement using differential evolution
- Portfolio selection under independent possibilistic information
- On some optimisation models in a fuzzy-stochastic environment
- Portfolio theory for the recourse certainty equivalent maximizing investor
- Maximum probability dominance and portfolio theory
- Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
This page was built for publication: Probability maximization models for portfolio selection under ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q623758)
