A new risk criterion in fuzzy environment and its application

DOI10.1016/j.apm.2011.09.081zbMath1252.91054OpenAlexW2038099648MaRDI QIDQ693392

Yanju Chen, Yan-Kui Liu, Xiao-Li Wu

Publication date: 7 December 2012

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2011.09.081

zbMATH Keywords

fractional programmingdomain decomposition methodrisk measureabsolute semi-deviationfuzzy portfolio optimizationpseudo-convexity

Mathematics Subject Classification ID

Related Items (11)

A new quadratic deviation of fuzzy random variable and its application to portfolio optimization ⋮ Studying interconnections between two classes of two-stage fuzzy optimization problems ⋮ Credibilistic extensive game with fuzzy payoffs ⋮ Portfolio selection based on distance between fuzzy variables ⋮ Credibilistic loss aversion Nash equilibrium for bimatrix games with triangular fuzzy payoffs ⋮ A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms ⋮ A risk index to find the optimal uncertain random portfolio ⋮ LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

Cites Work

• Minimax mean-variance models for fuzzy portfolio selection
• Possibility and necessity representations of fuzzy inequality and its application to two warehouse production-inventory problem
• Spread of fuzzy variable and expectation-spread model for fuzzy portfolio optimization problem
• A new method for solving fuzzy transportation problems using ranking function
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• Mean-semivariance models for fuzzy portfolio selection
• The expected value of a function of a fuzzy variable with a continuous membership function
• Portfolio adjusting optimization under credibility measures
• Portfolio selection based on fuzzy cross-entropy
• A review of credibilistic portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Multiobjective programming and planning
• Fuzzy contactability and fuzzy variables
• Fuzzy sets as a basis for a theory of possibility
• Fuzzy variables
• Portfolio selection under independent possibilistic information
• Viability of infeasible portfolio selection problems: A fuzzy approach
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Stochastic linear programming. Models, theory, and computation
• Portfolio selection based on upper and lower exponential possibility distributions
• A possibilistic approach to selecting portfolios with highest utility score
• Uncertainty theory. An introduction to its axiomatic foundations.
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Coherent Measures of Risk
• Stochastic Dominance and Expected Utility: Survey and Analysis
• The Lebesgue-Stieltjes Integral
• Fuzzy sets
• A fuzzy goal programming approach to portfolio selection
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A new risk criterion in fuzzy environment and its application