Optimizing fuzzy portfolio selection problems by parametric quadratic programming

DOI10.1007/s10700-012-9126-9zbMath1254.91767OpenAlexW2147062287MaRDI QIDQ1927278

Xiao-Li Wu, Yan-Kui Liu

Publication date: 31 December 2012

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-012-9126-9

zbMATH Keywords

parametric programmingmomentportfolio selectionparametric possibility distributionreduced fuzzy variable

Mathematics Subject Classification ID

Quadratic programming (90C20) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (12)

Optimizing fuzzy \( p\)-hub center problem with generalized value-at-risk criterion ⋮ Credibilistic multi-period portfolio optimization based on scenario tree ⋮ A new quadratic deviation of fuzzy random variable and its application to portfolio optimization ⋮ Modeling fuzzy data envelopment analysis under robust input and output data ⋮ Optimal decisions for prepositioning emergency supplies problem with type-2 fuzzy variables ⋮ On product of positive \(L\)-\(R\) fuzzy numbers and its application to multi-period portfolio selection problems ⋮ A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem ⋮ A method to solve linear programming problem with interval type-2 fuzzy parameters ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion ⋮ Semideviations of reduced fuzzy variables: a possibility approach ⋮ A unit commitment-based fuzzy bilevel electricity trading model under load uncertainty ⋮ A neural network to solve quadratic programming problems with fuzzy parameters

Cites Work

• A portfolio selection model using fuzzy returns
• Spread of fuzzy variable and expectation-spread model for fuzzy portfolio optimization problem
• Methods of critical value reduction for type-2 fuzzy variables and their applications
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Advances in type-2 fuzzy sets and systems
• Type-2 fuzzy variables and their arithmetic
• A cutting plane algorithm for MV portfolio selection model
• A review of credibilistic portfolio selection
• Fuzzy sets as a basis for a theory of possibility
• The concept of a linguistic variable and its application to approximate reasoning. I
• Uncertainty theory. An introduction to its axiomatic foundations.
• The Cutting-Plane Method for Solving Convex Programs
• Operations in a fuzzy-valued logic
• Some properties of fuzzy sets of type 2
• The Lebesgue-Stieltjes Integral
• Fuzzy sets
• A fuzzy goal programming approach to portfolio selection
• Centroid of a type-2-fuzzy set

This page was built for publication: Optimizing fuzzy portfolio selection problems by parametric quadratic programming