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Fuzzy chance-constrained portfolio selection
14 references·16 citing·36 second hop
Fuzzy chance-constrained portfolio selection (2005)Fuzzy chance-constrained portfolio select…Two-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…A possibilistic approach to selecting portfolios with highest utility score (2002)A possibilistic approach to s…Portfolio selection based on fuzzy probabilities and possibility distributions (2000)Portfolio selection based on …Portfolio selection based on upper and lower exponential possibility distributions (1999)Portfolio selection based on …THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…Fuzzy sets (1996)Fuzzy setsLarge-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Fuzzy sets (1965)Fuzzy setsA Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Chance-Constrained Programming (1959)Chance-Constrained ProgrammingPortfolio Selection (1952)Portfolio SelectionPortfolio selection: a fuzzy-ANP approach (2020)Portfolio selection: a fuzzy-…Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach (2019)Selecting Socially Responsibl…A credibility-based multi-objective temporary logistics hub location-allocation model for relief supply and distribution under uncertainty (2019)A credibility-based multi-obj…A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms (2018)A new bi-objective fuzzy port…Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns (2015)Mean-variance model for portf…Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm (2012)Multi-objective portfolio sel…An expected regret minimization portfolio selection model (2011)An expected regret minimizati…Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Fuzzy mean–variance–skewness …A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns (2009)A hybrid intelligent algorith…Mean-Entropy Models for Fuzzy Portfolio Selection (2008)Mean-Entropy Models for Fuzzy…Risk curve and fuzzy portfolio selection (2007)Risk curve and fuzzy portfoli…Possibilistic mean–variance models and efficient frontiers for portfolio selection problem (2007)Possibilistic mean–variance m…Portfolio selection with fuzzy returns (2007)Portfolio selection with fuzz…Portfolio selection with a new definition of risk (2007)Portfolio selection with a ne…A novel portfolio selection model in a hybrid uncertain environment (2007)A novel portfolio selection m…A new perspective for optimal portfolio selection with random fuzzy returns (2007)A new perspective for optimal…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Theory and Capital Markets. (1972)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Simulated annealing for complex portfolio selection problems (2003)Portfolio optimization with linear and fixed transaction costs (2006)Liquidity Preference as Behavior Towards Risk (1958)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)On Equilibrium Pricing under Parameter Uncertainty (1995)Variance vs downside risk: Is there really that much difference? (1999)Which Alpha? (2016)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)A Theory of the Welfare State (1994)What You Don't Know About Customer-Perceived Quality: The Role of Customer Expectation Distributions (1999)Ex Post Liability for Harm vs. Ex Ante Safety Regulation: Substitutes or Complements? (2018)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Optimization under uncertainty: state-of-the-art and opportunities (2003)Stochastic Programming (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Extensions of the TOPSIS for group decision-making under fuzzy environment (2000)An approach for detecting, quantifying, and visualizing the evolution of a research field: A practical application to the Fuzzy Sets Theory field (2010)Science mapping software tools: Review, analysis, and cooperative study among tools (2011)Family resemblances: Studies in the internal structure of categories (1975)Basic objects in natural categories (1976)Soft set theory—First results (1999)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

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  • 1984Large-Scale Portfolio Optimization416 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 2000Portfolio selection based on fuzzy probabilities and possibility distributions312 cited
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  • 1999Portfolio selection based on upper and lower exponential possibility distributions250 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS192 cited

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  • 2007Possibilistic mean–variance models and efficient frontiers for portfolio selection problem140 cited

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  • 2008Mean-Entropy Models for Fuzzy Portfolio Selection129 cited
  • 2015Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns127 cited
  • 2020Portfolio selection: a fuzzy-ANP approach123 cited
  • 2010Fuzzy mean–variance–skewness portfolio selection models by interval analysis116 cited
  • 2007Portfolio selection with a new definition of risk106 cited
  • 2012Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm105 cited
  • 2007A new perspective for optimal portfolio selection with random fuzzy returns99 cited
  • 2007Portfolio selection with fuzzy returns97 cited
  • 2007Risk curve and fuzzy portfolio selection92 cited
  • 2007A novel portfolio selection model in a hybrid uncertain environment84 cited
  • 2009A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns74 cited
  • 2018A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms74 cited
  • 2011An expected regret minimization portfolio selection model71 cited
  • 2019A credibility-based multi-objective temporary logistics hub location-allocation model for relief supply and distribution under uncertainty69 cited
  • 2019Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach59 cited