Portfolio selection under independent possibilistic information
From MaRDI portal
Publication:1582676
DOI10.1016/S0165-0114(99)00026-3zbMath0982.91028OpenAlexW2056826990MaRDI QIDQ1582676
Tetsuzo Tanino, Masahiro Inuiguchi
Publication date: 2000
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-0114(99)00026-3
Related Items
Oblique fuzzy vectors and their use in possibilistic linear programming ⋮ Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints ⋮ A fuzzy portfolio selection model with background risk ⋮ Portfolio theory, information theory and Tsallis statistics ⋮ A fuzzy portfolio selection method based on possibilistic mean and variance ⋮ Possibilistic mean-standard deviation models to portfolio selection for bounded assets ⋮ Two-stage fuzzy portfolio selection problem with transaction costs ⋮ Fuzzy portfolio optimization under downside risk measures ⋮ Weighted portfolio selection models based on possibility theory ⋮ Possibilistic mean-variance models and efficient frontiers for portfolio selection problem ⋮ Exact and heuristic procedures for solving the fuzzy portfolio selection problem ⋮ Multiobjective expected value model for portfolio selection in fuzzy environment ⋮ Fuzzy multi-period portfolio selection optimization models using multiple criteria ⋮ Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm ⋮ Fuzzy portfolio selection problem with different borrowing and lending rates ⋮ Unnamed Item ⋮ A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection ⋮ Portfolio selection using \(\lambda\) mean and hybrid entropy ⋮ An expected regret minimization portfolio selection model ⋮ A class of chance constrained multi-objective portfolio selection model under fuzzy random environment ⋮ Risk-controlled multiobjective portfolio selection problem using a principle of compromise ⋮ Portfolio adjusting optimization with added assets and transaction costs based on credibility measures ⋮ Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming ⋮ A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments ⋮ Necessity measure optimization in linear programming problems with fuzzy polytopes ⋮ Multi-period cardinality constrained portfolio selection models with interval coefficients ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ Superiority-inferiority modeling coupled minimax-regret analysis for energy management systems ⋮ A new risk criterion in fuzzy environment and its application ⋮ Portfolio adjusting optimization under credibility measures ⋮ Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm ⋮ Robust-based interactive portfolio selection problems with an uncertainty set of returns ⋮ A class of possibilistic portfolio selection model with interval coefficients and its application ⋮ UNCERTAINTY PORTFOLIO MODEL IN CROSS CURRENCY MARKETS ⋮ Fuzzy portfolio selection using fuzzy analytic hierarchy process ⋮ Applying least squares support vector machines to mean-variance portfolio analysis ⋮ Identification of filter management strategy in fluid power systems under uncertainty: an interval-fuzzy parameter integer nonlinear programming method ⋮ Portfolio selection under possibilistic mean-variance utility and a SMO algorithm ⋮ Unnamed Item ⋮ A dual-interval vertex analysis method and its application to environmental decision making under uncertainty ⋮ An estimation model of value-at-risk portfolio under uncertainty ⋮ Possibilistic mean-variance portfolios versus probabilistic ones: the winner is... ⋮ Fuzzy stock selection using a new fuzzy ranking and weighting algorithm ⋮ An interval portfolio selection problem based on regret function ⋮ Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs ⋮ Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions ⋮ A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control ⋮ A possibilistic approach to selecting portfolios with highest utility score ⋮ The valuation of European options in uncertain environment
Cites Work
- Unnamed Item
- Fuzzy sets and systems. Theory and applications
- Modality constrained programming problems: A unified approach to fuzzy mathematical programming problems in the setting of possibility theory
- Relationships between modality constrained programming problems and various fuzzy mathematical programming problems
- Minimax regret solution to linear programming problems with an interval objective function
- An achievement rate approach to linear programming problems with an interval objective function
