Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures

DOI10.1007/s00500-018-3452-yzbMath1418.91494OpenAlexW2890210767MaRDI QIDQ2318618

Hejun Xuan, Yuping Wang, Wei Yue

Publication date: 15 August 2019

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

Full work available at URL: https://doi.org/10.1007/s00500-018-3452-y

zbMATH Keywords

portfolio selectionpossibilistic momentsmulti-objective evolutionary algorithmlower partial risk measuresLR-fuzzy variable

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (6)

Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models ⋮ Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude ⋮ Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint ⋮ A mean-variance portfolio selection model with interval-valued possibility measures ⋮ An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences

Uses Software

• 2-Phase NSGA II

Cites Work

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