Risk curve and fuzzy portfolio selection

DOI10.1016/j.camwa.2007.06.019zbMath1142.91527OpenAlexW1974385937MaRDI QIDQ931739

Xiaoxia Huang

Publication date: 26 June 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2007.06.019

zbMATH Keywords

optimizationriskfuzzy programmingfuzzy portfolio selectionmean-risk curve model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (19)

Diversified portfolios with different entropy measures ⋮ Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints ⋮ Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints ⋮ Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm ⋮ Fuzzy mean-variance-skewness portfolio selection models by interval analysis ⋮ Uncertain random portfolio selection with high order moments ⋮ Portfolio selection using \(\lambda\) mean and hybrid entropy ⋮ A possibilistic portfolio model with fuzzy liquidity constraint ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ Convergence of optimal solutions about approximation scheme for fuzzy programming with minimum-risk criteria ⋮ Portfolio selection based on fuzzy cross-entropy ⋮ Unnamed Item ⋮ A cutting plane algorithm for MV portfolio selection model ⋮ A review of credibilistic portfolio selection ⋮ Mean-Entropy Model of Uncertain Portfolio Selection Problem ⋮ A risk index to find the optimal uncertain random portfolio ⋮ Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions ⋮ Fuzzy turnover rate chance constraints portfolio model ⋮ LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve

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