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A risk index model for multi-period uncertain portfolio selection · Study

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ArticleA risk index model for multi-period uncertain portfolio selection

Xiaoxia Huang2012

Article2012

A risk index model for multi-period uncertain portfolio selection

Xiaoxia Huang · Lei Qiao

80 citations·0/0 files stored·Information Sciences

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Risk and Portfolio Optimization Stochastic processes and financial applications Fuzzy Systems and Optimization

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References

1965Fuzzy sets 1996Fuzzy sets 1952PORTFOLIO SELECTION*2009Mean-variance-skewness model for portfolio selection with fuzzy returns 2002A possibilistic approach to selecting portfolios with highest utility score 2007Mean-semivariance models for fuzzy portfolio selection 2008Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm 2007Asset portfolio optimization using fuzzy mathematical programming

Cited by

2017Stock market prediction and Portfolio selection models: a survey 2020Multi-period portfolio optimization using coherent fuzzy numbers in a credibilistic environment 2016Uncertain portfolio selection with background risk 2018A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria 2014Project selection and scheduling with uncertain net income and investment cost 2016

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017A review of uncertain portfolio selectionarticle · 13 shared references 2011Mean–variance models for portfolio selection subject to experts’ estimationsarticle · 9 shared references 2017Mean-risk model for uncertain portfolio selection with background riskarticle · 9 shared references 2014A multi-period fuzzy portfolio optimization model with minimum transaction lotsarticle · 8 shared references 2012Multiobjective credibilistic portfolio selection model with fuzzy chance-constraintsarticle · 8 shared references 2012Expected value multiobjective portfolio rebalancing model with fuzzy parametersarticle · 8 shared references

Details

Year2012

Typearticle

Published2012-06-19

VenueInformation Sciences

ISSN-L0020-0255

Languageen

Citations80

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ins.2012.06.017

openalex_workW2032045595

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Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty

2018A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio

2021Multi-period uncertain portfolio optimization model with minimum transaction lots and dynamic risk preference