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ArticleFuzzy portfolio optimization model under real constraints

Yong‐Jun Liu2013

Article2013

Fuzzy portfolio optimization model under real constraints

Yong‐Jun Liu · Wei-Guo Zhang

71 citations·0/0 files stored·Insurance Mathematics and Economics

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Risk and Portfolio Optimization Optimization and Mathematical Programming Fuzzy Systems and Optimization

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References

1952PORTFOLIO SELECTION*1980Fuzzy Sets and Systems - Theory and Applications 1959Portfolio Selection: Efficient Diversification of Investments 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1977Rating and ranking of multiple-aspect alternatives using fuzzy sets 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model 2001Optimal portfolio selection in a Value-at-Risk framework 2002A possibilistic approach to selecting portfolios with highest utility score

Cited by

2020Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis Under Credibilistic Framework 2018A novel hybrid heuristic algorithm for a new uncertain mean-variance-skewness portfolio selection model with real constraints 2019Portfolio selection with coherent Investor’s expectations under uncertainty 2018A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model 2017Efficiency evaluation of fuzzy portfolio in different risk measures via DEA

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Year2013

Typearticle

Published2013-09-27

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations71

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.insmatheco.2013.09.005

openalex_workW2049604148

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