Fuzzy mean-variance-skewness portfolio selection models by interval analysis
From MaRDI portal
Publication:630734
DOI10.1016/j.camwa.2010.10.039zbMath1207.91059OpenAlexW2011915669MaRDI QIDQ630734
Rupak Bhattacharyya, Samarjit Kar, Dwijesh Dutta Majumder
Publication date: 19 March 2011
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2010.10.039
portfolio selectionfuzzy variablesmean-variance-skewness modelinterval numbershybrid intelligence algorithm
Related Items
Forecasting portfolio returns using weighted fuzzy time series methods ⋮ On the relationship between possibilistic and standard moments of fuzzy numbers ⋮ The KKT optimality conditions for optimization problem with interval-valued objective function on Hadamard manifolds ⋮ A multiobjective optimization framework for optimal selection of supplier portfolio ⋮ A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts ⋮ Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints ⋮ An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity ⋮ Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ Multiobjective expected value model for portfolio selection in fuzzy environment ⋮ Fuzzy portfolio selection problem with different borrowing and lending rates ⋮ Unnamed Item ⋮ Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments ⋮ Gradually tolerant constraint method for fuzzy portfolio based on possibility theory ⋮ An expected regret minimization portfolio selection model ⋮ Fuzzy investment portfolio selection models based on interval analysis approach ⋮ Portfolio selection based on distance between fuzzy variables ⋮ Some new results on value ranges of risks for mean-variance portfolio models ⋮ Moments and semi-moments for fuzzy portfolio selection ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ Portfolio optimization in real financial markets with both uncertainty and randomness ⋮ Multi-period cardinality constrained portfolio selection models with interval coefficients ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ Uncertain portfolio selection with background risk and liquidity constraint ⋮ Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization ⋮ Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization ⋮ A nonlinear interval portfolio selection model and its application in banks ⋮ Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model ⋮ A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation ⋮ A risk index to find the optimal uncertain random portfolio ⋮ LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve ⋮ Portfolio selection models based on Cross-entropy of uncertain variables
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On admissible efficient portfolio selection problem
- Mean-semivariance models for fuzzy portfolio selection
- Risk curve and fuzzy portfolio selection
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Linear programming with fuzzy objectives
- Fuzzy sets as a basis for a theory of possibility
- The concept of a linguistic variable and its application to approximate reasoning. I
- An MCDM approach to portfolio optimization.
- Portfolio selection problem with interval coefficients
- Solutions for the portfolio selection problem with interval and fuzzy coefficients
- Neural network-based mean-variance-skewness model for portfolio selection
- Portfolio rebalancing model with transaction costs based on fuzzy decision theory
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Asset portfolio optimization using fuzzy mathematical programming
- Fuzzy compromise programming for portfolio selection
- Advances and challenges in interval-valued fuzzy logic
- Fuzzy chance-constrained portfolio selection
- An interval portfolio selection problem based on regret function
- Multiobjective programming in optimization of the interval objective function
- Mean-variance-skewness model for portfolio selection with transaction costs
- Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
- Intervall-wertige Mengen
- Fuzzy Membership Mapped onto Intervals and Many‐Valued Quantities
- Vague sets
- On the Symmetric and Unsymmetric Solution Set of Interval Systems
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- A fuzzy goal programming approach to portfolio selection
- On possibilistic mean value and variance of fuzzy numbers