Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse

DOI10.1007/s10479-017-2458-7zbMath1419.91582OpenAlexW2592261185MaRDI QIDQ1730448

Takashi Hasuike, Mukesh Kumar Mehlawat

Publication date: 6 March 2019

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2458-7

zbMATH Keywords

efficient algorithmworst-case conditional value-at-riskportfolio selection problemrandom fuzzy programmingfuzzy reasoning method

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (2)

Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management

Cites Work

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