Mean-Entropy Model of Uncertain Portfolio Selection Problem

DOI10.1007/978-981-13-1471-1_2zbMath1409.91216OpenAlexW2885792337MaRDI QIDQ3122284

Saibal Majumder, Tandra Pal, Samarjit Kar

Publication date: 20 March 2019

Published in: Multi-Objective Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-13-1471-1_2

zbMATH Keywords

expected valueportfolio selectionuncertainty theorymulti-objective genetic algorithmtriangular entropy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ Uncertain multi-objective Chinese postman problem ⋮ On type-2 fuzzy weighted minimum spanning tree

Uses Software

• MOEA/D
• SPEA2
• jMetal
• AbYSS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The normalized normal constraint method for generating the Pareto frontier
• Triangular entropy of uncertain variables with application to portfolio selection
• Uncertain portfolio selection with background risk
• On admissible efficient portfolio selection problem
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Mean-semivariance models for fuzzy portfolio selection
• Risk curve and fuzzy portfolio selection
• Portfolio selection based on fuzzy cross-entropy
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Nonlinear multiobjective optimization
• 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
• Theory and practice of uncertain programming
• A risk index model for portfolio selection with returns subject to experts' estimations
• Uncertain term structure model of interest rate
• Uncertain portfolio selection with background risk and liquidity constraint
• Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
• Uncertain multi-objective multi-item fixed charge solid transportation problem with budget constraint
• Uncertain portfolio adjusting model using semiabsolute deviation
• Mean-risk model for uncertain portfolio selection
• Uncertain programming models for portfolio selection with uncertain returns
• Diversified models for portfolio selection based on uncertain semivariance
• Rough sets
• Normal-Boundary Intersection: A New Method for Generating the Pareto Surface in Nonlinear Multicriteria Optimization Problems
• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• Mean-absolute deviation portfolio optimization model under transaction costs
• Cross-entropy based multi-objective uncertain portfolio selection problem
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• Fuzzy sets
• Uncertainty theory
• A fuzzy goal programming approach to portfolio selection
• On possibilistic mean value and variance of fuzzy numbers

This page was built for publication: Mean-Entropy Model of Uncertain Portfolio Selection Problem