Gradually tolerant constraint method for fuzzy portfolio based on possibility theory

DOI10.1016/J.INS.2013.10.016MaRDI QIDQ903560zbMATH OpenOpenAlexFDO

Authors Xue Deng, Rongjun Li

Publication date 14 January 2016

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2013.10.016

zbMATH Keywords

fuzzy numberportfolio selectionpossibilistic meanpossibilistic variancegradually tolerant constraint method

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 51121 (Why is no real title available?)
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• Decision-Making in a Fuzzy Environment
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• Mean-variance portfolio optimal problem under concave transaction cost
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
• Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
• On possibilistic mean value and variance of fuzzy numbers
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• Solutions for the portfolio selection problem with interval and fuzzy coefficients
• Solving a comprehensive model for multiobjective project portfolio selection
• Some new results on value ranges of risks for mean-variance portfolio models

Cited in

(6)

• Dispatching rule evaluation in flexible manufacturing systems by a new fuzzy decision model with possibilistic-statistical uncertainties
• Multi-criteria group decision-making for portfolio allocation with consensus reaching process under interval type-2 fuzzy environment
• Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
• Two-stage fuzzy portfolio selection problem with transaction costs
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature

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