A portfolio selection model using fuzzy returns

DOI10.1007/s10700-011-9101-xzbMath1213.91139OpenAlexW2078794042MaRDI QIDQ540671

Li Duan, Peter Stahlecker

Publication date: 3 June 2011

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-011-9101-x

zbMATH Keywords

fuzzy setsportfolio selection\(\alpha \)-cutsminimum volume ellispoid

Mathematics Subject Classification ID

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

Related Items (10)

A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude ⋮ On product of positive \(L\)-\(R\) fuzzy numbers and its application to multi-period portfolio selection problems ⋮ Optimizing fuzzy portfolio selection problems by parametric quadratic programming ⋮ Risk-controlled multiobjective portfolio selection problem using a principle of compromise ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ Stock market prediction and portfolio selection models: a survey ⋮ Robust-based interactive portfolio selection problems with an uncertainty set of returns ⋮ Fuzzy portfolio selection model with real features and different decision behaviors ⋮ Global minimum variance portfolios under uncertainty: a robust optimization approach ⋮ A Study on Portfolio Selection Based on Fuzzy Linear Programming

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