A new risk criterion in fuzzy environment and its application

DOI10.1016/J.APM.2011.09.081zbMATH Open1252.91054OpenAlexW2038099648MaRDI QIDQ693392FDOQ693392

Authors: Yanju Chen, Yan-Kui Liu, Xiao-Li Wu 

Publication date: 7 December 2012

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2011.09.081

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zbMATH Keywords

domain decomposition methodfractional programmingrisk measureabsolute semi-deviationfuzzy portfolio optimizationpseudo-convexity

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

Cites Work

• Fuzzy sets as a basis for a theory of possibility
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• Fuzzy sets
• Portfolio selection based on fuzzy cross-entropy
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Cited In (13)

• Credibilistic extensive game with fuzzy payoffs
• Credibilistic loss aversion Nash equilibrium for bimatrix games with triangular fuzzy payoffs
• A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem
• A new quadratic deviation of fuzzy random variable and its application to portfolio optimization
• A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
• The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection
• Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
• Portfolio selection based on distance between fuzzy variables
• Studying interconnections between two classes of two-stage fuzzy optimization problems
• Risk assessment system of natural hazards: a new approach based on fuzzy probability
• New safe approximation of ambiguous probabilistic constraints for financial optimization problem
• LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve
• A risk index to find the optimal uncertain random portfolio

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