An expected regret minimization portfolio selection model
From MaRDI portal
Publication:439531
DOI10.1016/j.ejor.2011.11.015zbMath1244.91083OpenAlexW2008518239MaRDI QIDQ439531
Zhongfeng Qin, Biying Shou, Xiang Li
Publication date: 16 August 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.11.015
Management decision making, including multiple objectives (90B50) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)
Related Items
The worst-case discounted regret portfolio optimization problem, Fuzzy multi-period portfolio selection with different investment horizons, MEAN-SEMIVARIANCE MODELS FOR PORTFOLIO OPTIMIZATION PROBLEM WITH MIXED UNCERTAINTY OF FUZZINESS AND RANDOMNESS, Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels, Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory, TWD-R: a three-way decision approach based on regret theory in multi-scale decision information systems, Mean-risk model for uncertain portfolio selection with background risk and realistic constraints, Some new results on value ranges of risks for mean-variance portfolio models, A new methodology for hesitant fuzzy emergency decision making with unknown weight information, Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem, A relative robust approach on expected returns with bounded CVaR for portfolio selection, Maximum satisfaction consensus with budget constraints considering individual tolerance and compromise limit behaviors, Multi-period cardinality constrained portfolio selection models with interval coefficients, An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models, A new index for bond management in an uncertain environment, A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms, Unnamed Item, A new approach for worst-case regret portfolio optimization problem
Cites Work
- Unnamed Item
- Unnamed Item
- Robust optimization and portfolio selection: the cost of robustness
- Minimax mean-variance models for fuzzy portfolio selection
- Fuzzy mean-variance-skewness portfolio selection models by interval analysis
- On fuzzy portfolio selection problems
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation
- Mean-semivariance models for fuzzy portfolio selection
- Risk averse preference models for normalised lotteries based on simulation
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Portfolio selection based on fuzzy cross-entropy
- A review of credibilistic portfolio selection
- Dynamic portfolio optimization with risk control for absolute deviation model
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Portfolio selection under independent possibilistic information
- Portfolio selection based on upper and lower exponential possibility distributions
- A possibilistic approach to selecting portfolios with highest utility score
- Uncertainty theory. An introduction to its axiomatic foundations.
- Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
- Fuzzy chance-constrained portfolio selection
- Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
- Regret in Decision Making under Uncertainty
