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.2024.115859zbMATH Open1545.9128MaRDI QIDQ6567284FDOQ6567284

Authors: Yue-fen Chen, Bo Li 

Publication date: 4 July 2024

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

zbMATH Keywords

portfolio selectionuncertainty theoryroot system growth algorithmloss aversion utilityreference level

Mathematics Subject Classification ID

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

Cites Work

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

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