A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios

DOI10.1016/j.physa.2016.08.009zbMath1400.91572OpenAlexW2513225097MaRDI QIDQ1620084

Wei Yue, Yuping Wang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.08.009

zbMATH Keywords

entropyportfolio selectionfuzzy variablepossibilistic momentsmulti-objective evolutionary algorithm

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items

Elliptic entropy of uncertain random variables with application to portfolio selection, A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude, Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints, Decision making for portfolio selection by fuzzy multi criteria linear programming, Uncertain random portfolio selection with high order moments, Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection, Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures, Option implied moments obtained through fuzzy regression

Cites Work

• Unnamed Item
• Diversified portfolios with different entropy measures
• A fuzzy portfolio selection model with background risk
• Elementary fuzzy calculus
• Portfolio rebalancing model using multiple criteria
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• Fuzzy portfolio optimization under downside risk measures
• Asymptotic analysis for target asset portfolio allocation with small transaction costs
• Multi-objective possibilistic model for portfolio selection with transaction cost
• Global optimization of higher order moments in portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Measures of entropy and fuzziness related to aggregation operators
• An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
• On weighted possibilistic mean and variance of fuzzy numbers
• The possibilistic moments of fuzzy numbers and their applications
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
• Moments and semi-moments for fuzzy portfolio selection
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Portfolio selection with higher moments
• Independent Factor Autoregressive Conditional Density Model