Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

DOI10.1016/j.cam.2007.02.017zbMath1136.91458OpenAlexW2022661516MaRDI QIDQ929609

Enriqueta Vercher

Publication date: 17 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.cam.2007.02.017

zbMATH Keywords

semi-infinite programmingfuzzy mathematical programmingportfolio selection problemdownside risk functionfuzzy returns

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Semi-infinite programming (90C34) Portfolio theory (91G10)

Related Items (5)

Recent contributions to linear semi-infinite optimization ⋮ Comments on: Stability in linear optimization and related topics. A personal tour ⋮ A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection ⋮ Fuzzy measures for profit maximization with fuzzy parameters ⋮ Recent contributions to linear semi-infinite optimization: an update

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