Mean-risk-skewness models for portfolio optimization based on uncertain measure
From MaRDI portal
Publication:4643691
DOI10.1080/02331934.2018.1426577zbMath1410.91435OpenAlexW2790357409MaRDI QIDQ4643691
Hongru Wu, Manying Bai, Jia Zhai
Publication date: 28 May 2018
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2018.1426577
Related Items (5)
Uncertain random portfolio selection with high order moments ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ International portfolio optimization based on uncertainty theory ⋮ Uncertain portfolio optimization problem under a minimax risk measure ⋮ The skewness for uncertain random variable and application to portfolio selection problem
Cites Work
- Unnamed Item
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- VaR optimal portfolio with transaction costs
- Uncertain portfolio optimization
- Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
- Mean-semivariance models for fuzzy portfolio selection
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Portfolio selection based on fuzzy cross-entropy
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution
- Uncertain portfolio adjusting model using semiabsolute deviation
- Conditional value at risk and related linear programming models for portfolio optimization
- Fuzzy compromise programming for portfolio selection
- 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
- Agent-Based Co-operative Co-evolutionary Algorithms for Multi-objective Portfolio Optimization
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- A branch and bound algorithm for solving mean-risk-skewness portfolio models
- Downside Risk Approach for Multi-Objective Portfolio Optimization
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- Uncertainty theory
- A fuzzy goal programming approach to portfolio selection
- Portfolio selection and asset pricing
This page was built for publication: Mean-risk-skewness models for portfolio optimization based on uncertain measure
