A new portfolio selection model with interval-typed random variables and the empirical analysis

DOI10.1007/s00500-016-2396-3zbMath1398.91532OpenAlexW2546558150MaRDI QIDQ1797766

Chunquan Li, Jianhua Jin

Publication date: 22 October 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-016-2396-3

zbMATH Keywords

riskportfolio selectionassetsinterval numbersreturnsprobabilistic measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion

Cites Work

• Mean-CVaR portfolio selection: a nonparametric estimation framework
• Minimax mean-variance models for fuzzy portfolio selection
• Analytical VaR for international portfolios with common jumps
• On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
• Multi-objective stochastic programming for portfolio selection
• Two new models for portfolio selection with stochastic returns taking fuzzy information
• Fuzzy portfolio optimization under downside risk measures
• Risk management strategies via minimax portfolio optimization
• Portfolio selection problems with random fuzzy variable returns
• A class of fuzzy random optimization: Expected value models.
• A minimax portfolio selection strategy with equilibrium
• On minimum-risk problems in fuzzy random decision systems
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
• Portfolio optimization using a new probabilistic risk measure
• Portfolio selection with a new definition of risk
• Coherent Measures of Risk
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Expected model for portfolio selection with random fuzzy returns
• Introduction to Interval Analysis
• Portfolio selection problem with minimax type risk function

This page was built for publication: A new portfolio selection model with interval-typed random variables and the empirical analysis