A chance-constrained portfolio selection model with risk constraints

DOI10.1016/j.amc.2010.06.035zbMath1197.91178OpenAlexW2017184882MaRDI QIDQ711350

Xiang Li, Zhongfeng Qin, Lixing Yang

Publication date: 25 October 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.06.035

zbMATH Keywords

risk constraintfuzzy portfolio selectionfuzzy chance-constrained programming

Mathematics Subject Classification ID

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

Related Items

An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection, Stochastic portfolio selection problem with reliability criteria, Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets

Cites Work

• Fuzzy chance-constrained portfolio selection
• Portfolio Optimization Under a Minimax Rule