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Fuzzy multi-period portfolio selection with different investment horizons · Study

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ArticleFuzzy multi-period portfolio selection with different investment horizons

Sini Guo2016

Article2016

Fuzzy multi-period portfolio selection with different investment horizons

Sini Guo · Lean Yu · Xiang Li · Samarjit Kar

98 citations·0/0 files stored·European Journal of Operational Research

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

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References

1952PORTFOLIO SELECTION*2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1972An Analytic Derivation of the Efficient Portfolio Frontier 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

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Year2016

Typearticle

Published2016-05-06

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations98

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2016.04.055

openalex_workW2345954292

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2023

Meta-heuristics for portfolio optimization

2022A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure

2016Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty