Uncertain portfolio optimization problem under a minimax risk measure
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Cites work
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Cited in
(15)- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Adams predictor-corrector method for solving uncertain differential equation
- Analysis of a class of dynamic programming models for multi-stage uncertain systems
- The skewness for uncertain random variable and application to portfolio selection problem
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- An analytic solution for multi-period uncertain portfolio selection problem
- Optimal portfolio problem with unknown dependency structure
- Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market
- Uncertain portfolio optimization problem based on moment information
- Optimization of portfolio risk based on SVM-GRA-fuzzy entropy
- Portfolio optimization using higher moments in an uncertain random environment
- A possibilistic programming approach to portfolio optimization problem under fuzzy data
- Utilizing RNN based model and bi-objective programming to a new mean-conditional value at risk-entropy for uncertain portfolio optimization with liquidity and diversification
- Return as a vague element: fuzzy multi-objective portfolio making under sustainable investment strategy
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