A risk index model for multi-period uncertain portfolio selection

DOI10.1016/j.ins.2012.06.017zbMath1250.91094OpenAlexW2032045595MaRDI QIDQ456449

J. Herrera, D. Rodríguez-Gómez

Publication date: 25 October 2012

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2012.06.017

zbMATH Keywords

portfolio selectionrisk indexuncertain programmingmulti-period portfolio selectionmean-risk index model

Mathematics Subject Classification ID

Related Items (20)

Project selection and scheduling with uncertain net income and investment cost ⋮ Uncertain random mean–variance–skewness models for the portfolio optimization problem ⋮ An analytic solution for multi-period uncertain portfolio selection problem ⋮ Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns ⋮ Minimax rule for energy optimization ⋮ Uncertain portfolio adjusting model using semiabsolute deviation ⋮ A risk index model for uncertain portfolio selection with background risk ⋮ A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model ⋮ MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION ⋮ Uncertain portfolio selection with background risk ⋮ Reduction methods of type-2 uncertain variables and their applications to solid transportation problem ⋮ Stock market prediction and portfolio selection models: a survey ⋮ Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty ⋮ Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints ⋮ Multi-period mean-semivariance portfolio optimization based on uncertain measure ⋮ A risk index to find the optimal uncertain random portfolio ⋮ Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity ⋮ A new uncertain random portfolio optimization model for complex systems with downside risks and diversification

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Shortest path problem with uncertain arc lengths
• Cross-entropy measure of uncertain variables
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• Mean-semivariance models for fuzzy portfolio selection
• Multi-period semi-variance portfolio selection: model and numerical solution
• Multi-period portfolio optimization with linear control policies
• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
• Portfolio selection based on fuzzy cross-entropy
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• A possibilistic approach to selecting portfolios with highest utility score
• Optimal multinational capital budgeting under uncertainty
• Asset portfolio optimization using fuzzy mathematical programming
• Mean-risk model for uncertain portfolio selection
• UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
• ON LIU'S INFERENCE RULE FOR UNCERTAIN SYSTEMS
• Fuzzy sets
• Uncertainty theory

This page was built for publication: A risk index model for multi-period uncertain portfolio selection