An uncertainty theory based tri-objective behavioral portfolio selection model with loss aversion and reference level using a modified evolutionary root system growth algorithm

DOI10.1016/J.CAM.2024.115859MaRDI QIDQ6567284zbMATH OpenFDO

Authors Yue-fen Chen, Bo Li

Publication date 4 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.115859

zbMATH Keywords

portfolio selectionuncertainty theoryroot system growth algorithmloss aversion utilityreference level

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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Cites work

• A formula to calculate the variance of uncertain variable
• A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude
• A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
• Fuzzy multi-period portfolio selection optimization models using multiple criteria
• Mean-chance model for portfolio selection based on uncertain measure
• Mean-risk model for uncertain portfolio selection with background risk
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Portfolio optimization through a network approach: network assortative mixing and portfolio diversification
• Portfolio optimization using a new probabilistic risk measure
• Portfolio performance evaluation with loss aversion
• Prospect Theory: An Analysis of Decision under Risk
• Uncertain programming models for portfolio selection with uncertain returns
• Uncertainty theory
• \(p\)-optimality-based multiobjective root system growth algorithms for multiobjective applications

Cited in

(2)

• Uncertain finance: a systematic review of recent advances
• Multi-period portfolio tracking strategy based on expert uncertainty modeling and enhanced dung beetle optimization algorithm

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