A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk

DOI10.1007/s00500-021-06226-xzbMath1498.91382OpenAlexW3201659060MaRDI QIDQ2100492

Xue Deng, Yongkang Yuan

Publication date: 22 November 2022

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

Full work available at URL: https://doi.org/10.1007/s00500-021-06226-x

zbMATH Keywords

portfoliosystematic riskfuzzy dominant goal programmingnon-systematic risksharp single index model

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• A Mathematical Theory of Communication
• Portfolio selection using \(\lambda\) mean and hybrid entropy
• Default reasoning and possibility theory
• Fuzzy sets as a basis for a theory of possibility
• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• Mean-variance portfolio selection in a complete market with unbounded random coefficients
• Portfolio selection based on upper and lower exponential possibility distributions
• Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
• Portfolio diversification based on stochastic dominance under incomplete probability information
• A goal programming approach to deriving interval weights in analytic form from interval fuzzy preference relations based on multiplicative consistency
• A universal approach to imprecise probabilities in possibility theory
• Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
• Exponentially concave functions and high dimensional stochastic portfolio theory
• Efficient randomized quasi-Monte Carlo methods for portfolio market risk
• Financial portfolio management through the goal programming model: current state-of-the-art
• Fuzzy sets
• On possibilistic mean value and variance of fuzzy numbers

This page was built for publication: A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk