Portfolio selection of uncertain random returns based on value at risk

DOI10.1007/s00500-021-05623-6zbMath1498.91398OpenAlexW3132919706MaRDI QIDQ2099969

Hamed Ahmadzade, Yajuan Liu, Mehran Farahikia

Publication date: 21 November 2022

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

Full work available at URL: https://doi.org/10.1007/s00500-021-05623-6

zbMATH Keywords

Monte Carlo simulationportfolio selectionvalue at riskchance theoryuncertain random variablemean-value at risk model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (4)

Reliability modeling of uncertain random fractional differential systems with competitive failures ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints ⋮ Portfolio optimization in real financial markets with both uncertainty and randomness ⋮ A risk index to find the optimal uncertain random portfolio

Cites Work

• Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
• Uncertain random multilevel programming with application to production control problem
• Uncertain portfolio selection with background risk
• Cross-entropy measure of uncertain variables
• Partial divergence measure of uncertain random variables and its application
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Uncertain random programming with applications
• Some results of moments of uncertain variable through inverse uncertainty distribution
• A risk index model for portfolio selection with returns subject to experts' estimations
• Uncertain random variables: a mixture of uncertainty and randomness
• Uncertain portfolio selection with background risk and liquidity constraint
• Uncertain random portfolio selection based on risk curve
• Value-at-risk in uncertain random risk analysis
• Theory and practice of uncertain programming.
• Risk metrics of loss function for uncertain system
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Mean-chance model for portfolio selection based on uncertain measure
• Risk Index in Uncertain Random Risk Analysis
• Partial entropy of uncertain random variables
• Uncertainty theory

This page was built for publication: Portfolio selection of uncertain random returns based on value at risk