Two new models for portfolio selection with stochastic returns taking fuzzy information

DOI10.1016/j.ejor.2006.04.010zbMath1114.90166OpenAlexW1970112348MaRDI QIDQ869193

Xiaoxia Huang

Publication date: 26 February 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.04.010

zbMATH Keywords

simulationgenetic algorithmportfolio selectionrandom optimizationfuzzy optimization

Mathematics Subject Classification ID

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

Related Items (27)

A fuzzy portfolio selection method based on possibilistic mean and variance ⋮ Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics ⋮ Existence and uniqueness of solution for fuzzy random differential equations with non-Lipschitz coefficients ⋮ MEAN-SEMIVARIANCE MODELS FOR PORTFOLIO OPTIMIZATION PROBLEM WITH MIXED UNCERTAINTY OF FUZZINESS AND RANDOMNESS ⋮ Weighted portfolio selection models based on possibility theory ⋮ Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments ⋮ Minimax mean-variance models for fuzzy portfolio selection ⋮ Risk-controlled multiobjective portfolio selection problem using a principle of compromise ⋮ Mean-semivariance models for fuzzy portfolio selection ⋮ Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse ⋮ A new perspective for optimal portfolio selection with random fuzzy returns ⋮ An information axiom based decision making approach under hybrid uncertain environments ⋮ Asset portfolio optimization using fuzzy mathematical programming ⋮ On chance maximization model in fuzzy random decision systems ⋮ Expected model for portfolio selection with random fuzzy returns ⋮ Stock market prediction and portfolio selection models: a survey ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion ⋮ Robust-based interactive portfolio selection problems with an uncertainty set of returns ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Mean-risk model for uncertain portfolio selection ⋮ The benefits of differential variance-based constraints in portfolio optimization ⋮ A new portfolio selection model with interval-typed random variables and the empirical analysis ⋮ Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint ⋮ Penalty algorithm based on conjugate gradient method for solving portfolio management problem ⋮ A review of credibilistic portfolio selection ⋮ Random credibilitic portfolio selection problem with different convex transaction costs ⋮ Portfolio selection problems with random fuzzy variable returns

Cites Work

• Unnamed Item
• Unnamed Item
• On admissible efficient portfolio selection problem
• Redundancy optimization problems with uncertainty of combining randomness and fuzziness
• A survey of credibility theory
• Fuzzy random variables - I. Definitions and theorems
• Determination of the portfolio selection for a property-liability insurance company
• A maxmin policy for bond management
• The efficient frontier for bounded assets
• Random fuzzy programming with chance measures defined by fuzzy integrals.
• A minimax portfolio selection strategy with equilibrium
• Portfolio selection based on upper and lower exponential possibility distributions
• Random fuzzy dependent-chance programming and its hybrid intelligent algorithm
• A possibilistic approach to selecting portfolios with highest utility score
• Theory and practice of uncertain programming
• Uncertainty theory. An introduction to its axiomatic foundations.
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Continuity theorems and chance distribution of random fuzzy variables
• Portfolio Optimization Under a Minimax Rule
• Three types of models for stochastic scheduling with fuzzy information
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• Expected Value Operator of Random Fuzzy Variable and Random Fuzzy Expected Value Models
• A fuzzy goal programming approach to portfolio selection

This page was built for publication: Two new models for portfolio selection with stochastic returns taking fuzzy information