A fuzzy control model (FCM) for dynamic portfolio management

DOI10.1016/0165-0114(96)84605-7zbMATH Open0867.90012OpenAlexW1999279848MaRDI QIDQ678950FDOQ678950

Authors Ralf Östermark

Publication date 27 April 1997

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-0114(96)84605-7

zbMATH Keywords

portfolio managementfuzzy controlexpert systems

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Application models in control theory (93C95)

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Cites work

• scientific article; zbMATH DE number 52079 (Why is no real title available?)
• Application of fuzzy theories to multiple objective decision making in system design
• Fault diagnosis in dynamic systems using analytical and knowledge-based redundancy - a survey and some new results
• Fuzzy multiple objective programming and compromise programming with Pareto optimum
• Fuzzy programming approach to multicriteria decision making transportation problem
• Heuristically enhanced feedback control of constrained discrete-time linear systems
• Model predictive control: Theory and practice - a survey
• Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
• Solution of optimal control problems with lumped parameters having single or multiple goal objectives in fuzzy environment
• State estimation schemes for fault detection and diagnosis in dynamic systems
• Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

Cited in

(8)

• A cutting plane algorithm for MV portfolio selection model
• Fuzzy multi-period portfolio selection optimization models using multiple criteria
• A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
• Decision making for portfolio selection by fuzzy multi-criteria linear programming
• scientific article; zbMATH DE number 7028270 (Why is no real title available?)
• A class of chance constrained multi-objective portfolio selection model under fuzzy random environment
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Fuzzy interval methods in investment risk appraisal.

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