A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem

DOI10.1155/2017/6279859zbMath1427.91258OpenAlexW2584415495WikidataQ59147670 ScholiaQ59147670MaRDI QIDQ1992962

Ying Liu, Ya-Nan Li

Publication date: 5 November 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/6279859

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Mean-CVaR portfolio selection: a nonparametric estimation framework
• A new risk criterion in fuzzy environment and its application
• Type-2 fuzzy variables and their arithmetic
• Two-stage fuzzy portfolio selection problem with transaction costs
• Semideviations of reduced fuzzy variables: a possibility approach
• The lambda selections of parametric interval-valued fuzzy variables and their numerical characteristics
• Optimizing fuzzy portfolio selection problems by parametric quadratic programming
• Modeling renewal processes in fuzzy decision system
• Fractional programming with convex quadratic forms and functions
• 60 years of portfolio optimization: practical challenges and current trends
• Expansion planning for waste-to-energy systems using waste forecast prediction sets
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Fuzzy Stochastic Optimization
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• The Lebesgue-Stieltjes Integral
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
• Programming with linear fractional functionals

This page was built for publication: A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem