A new portfolio selection model with interval-typed random variables and the empirical analysis
From MaRDI portal
Publication:1797766
DOI10.1007/s00500-016-2396-3zbMath1398.91532OpenAlexW2546558150MaRDI QIDQ1797766
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
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
