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Fuzzy multi-period portfolio selection optimization models using multiple criteria
16 references·5 citing·37 second hop
Fuzzy multi-period portfolio selection optimization models using multiple criteria (2012)Fuzzy multi-period portfolio selection op…A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)A possibilistic mean-semivari…Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Genetic algorithms for portfo…Robust multiperiod portfolio management in the presence of transaction costs (2006)Robust multiperiod portfolio …Extensions of TOPSIS for multi-objective large-scale nonlinear programming problems (2004)Extensions of TOPSIS for mult…Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfol…A possibilistic approach to selecting portfolios with highest utility score (2002)A possibilistic approach to s…Portfolio selection under independent possibilistic information (2000)Portfolio selection under ind…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Fuzzy sets (1996)Fuzzy setsMultiple Criteria Decision Making (1983)Multiple Criteria Decision Ma…Fuzzy Sets and Systems - Theory and Applications (1980)Fuzzy Sets and Systems - Theo…MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE* (1971)MULTI‐PERIOD MEAN‐VARIANCE AN…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Fuzzy sets (1965)Fuzzy setsPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria (2018)A Novel Hybrid ICA-FA Algorit…A Hybrid Multiobjective Bat Algorithm for Fuzzy Portfolio Optimization with Real-World Constraints (2018)A Hybrid Multiobjective Bat A…Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs (2015)Multi-stage stochastic mean–s…Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints (2014)Multiperiod mean absolute dev…A multi-period portfolio selection optimization model by using interval analysis (2013)A multi-period portfolio sele…Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Benchmark and mean-variance problems for insurers (2005)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)The Econometrics of Financial Markets (2012)Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (2020)Portfolio Selection (1952)Intransitivity of preferences. (1969)Fuzzy portfolio optimization under downside risk measures (2006)Asset portfolio optimization using fuzzy mathematical programming (2007)Mean-semivariance models for fuzzy portfolio selection (2007)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)A fuzzy extension of Saaty's priority theory (1983)A 2-tuple fuzzy linguistic representation model for computing with words (2000)Hesitant Fuzzy Linguistic Term Sets for Decision Making (2011)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)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Application of multi-criteria decision making to sustainable energy planning—A review (2004)Extended VIKOR method in comparison with outranking methods (2006)Sustainable supplier selection in healthcare industries using a new MCDM method: Measurement of alternatives and ranking according to COmpromise solution (MARCOS) (2019)
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References

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  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1980Fuzzy Sets and Systems - Theory and Applications6,412 cited
  • 1983Multiple Criteria Decision Making2,459 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 2002A possibilistic approach to selecting portfolios with highest utility score294 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 2007Genetic algorithms for portfolio selection problems with minimum transaction lots243 cited
  • 2004Extensions of TOPSIS for multi-objective large-scale nonlinear programming problems236 cited
  • 1971MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*211 cited
  • 2000Portfolio selection under independent possibilistic information187 cited
  • 2006Robust multiperiod portfolio management in the presence of transaction costs184 cited

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2012
A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
167 cited

Cited by

  • 2014Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints76 cited
  • 2015Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs62 cited
  • 2018A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria62 cited
  • 2013A multi-period portfolio selection optimization model by using interval analysis54 cited
  • 2018A Hybrid Multiobjective Bat Algorithm for Fuzzy Portfolio Optimization with Real-World Constraints45 cited