Portfolio optimization using higher moments in an uncertain random environment

DOI10.1016/j.ins.2021.03.019zbMath1527.91150OpenAlexW3135924647MaRDI QIDQ6081306

Unnamed Author, Pankaj Gupta, Mukesh Kumar Mehlawat

Publication date: 25 October 2023

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

Full work available at URL: https://doi.org/10.1016/j.ins.2021.03.019

zbMATH Keywords

multi-objective programmingportfolio optimizationuncertain measurereal-coded genetic algorithmchance distributionuncertain random variable

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items

Indefinite linear quadratic optimal control problem for uncertain random discrete-time systems ⋮ Optimal control for uncertain random continuous-time systems ⋮ Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric ⋮ Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers ⋮ Online multi-criteria portfolio analysis through compromise programming models built on the underlying principles of fuzzy outranking ⋮ Transportation planning for sustainable supply chain network using big data technology

Cites Work

• Unnamed Item
• Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
• Fuzzy sets as a basis for a theory of possibility
• Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
• Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
• Uncertain random programming with applications
• Uncertain random variables: a mixture of uncertainty and randomness
• Uncertain portfolio optimization problem under a minimax risk measure
• Mixed value-at-risk and its numerical investigation
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
• Skewness seeking: risk loving, optimism or overweighting of small probabilities?
• Uncertain portfolio adjusting model using semiabsolute deviation
• Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
• Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
• A SUFFICIENT AND NECESSARY CONDITION FOR CREDIBILITY MEASURES
• Fuzzy sets
• Uncertainty theory