Modeling of linear uncertain portfolio selection with uncertain constraint and risk index

DOI10.1007/S10700-024-09429-7zbMATH Open1544.91284MaRDI QIDQ6606145

Weiwei Guo, Zaiwu Gong, Wei-Guo Zhang

Publication date: 16 September 2024

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

zbMATH Keywords

portfolio selectionrisk indexuncertain variableuncertain constraint

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
• Fuzzy multi-period portfolio selection with different investment horizons
• A formula to calculate the variance of uncertain variable
• Uncertain portfolio selection with background risk
• A risk index model for portfolio selection with returns subject to experts' estimations
• Portfolio management with background risk under uncertain mean-variance utility
• A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information
• Multi-period portfolio selection with investor views based on scenario tree
• Algorithmic trading for online portfolio selection under limited market liquidity
• A relative robust approach on expected returns with bounded CVaR for portfolio selection
• Mean-risk model for uncertain portfolio selection
• A risk index model for uncertain portfolio selection with background risk
• Uncertainty theory
• Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty

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