UNCERTAINTY PORTFOLIO MODEL IN CROSS CURRENCY MARKETS

DOI10.1142/S0218488510006787zbMath1237.91211MaRDI QIDQ3070075

Weidong Xu, Hongyi Li, Wei-jun Xu, Wei-Guo Zhang

Publication date: 2 February 2011

Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

zbMATH Keywords

fuzzy numbersfuzzy programmingportfolio selectionfuzzy efficient frontier

Mathematics Subject Classification ID

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

Related Items

International portfolio selection model with exchange rate risk

Cites Work

• Portfolio selection problems with random fuzzy variable returns
• Fuzzy sets as a basis for a theory of possibility
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Portfolio selection under independent possibilistic information
• Viability of infeasible portfolio selection problems: A fuzzy approach
• Portfolio selection based on upper and lower exponential possibility distributions
• A possibilistic approach to selecting portfolios with highest utility score
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
• Portfolio selection based on fuzzy probabilities and possibility distributions
• On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem
• Fuzzy sets
• Decision-Making in a Fuzzy Environment
• Robust Portfolio Selection Problems
• Safety First and the Holding of Assets
• On possibilistic mean value and variance of fuzzy numbers