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Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
16 references·3 citing·41 second hop
Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments (2018)Data envelopment analysis based fuzzy mul…Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market (2013)Use of DEA cross-efficiency e…Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Fuzzy mean–variance–skewness …Portfolio optimization problems in different risk measures using genetic algorithm (2009)Portfolio optimization proble…Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2009)Improved Estimates of Higher-…Multi-objective possibilistic model for portfolio selection with transaction cost (2008)Multi-objective possibilistic…Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Markowitz-based portfolio sel…Possibilistic mean–variance models and efficient frontiers for portfolio selection problem (2007)Possibilistic mean–variance m…Generalized DEA model of fundamental analysis and its application to portfolio optimization (2007)Generalized DEA model of fund…Asset portfolio optimization using fuzzy mathematical programming (2007)Asset portfolio optimization …Two new models for portfolio selection with stochastic returns taking fuzzy information (2006)Two new models for portfolio …Portfolio performance evaluation in a mean–variance–skewness framework (2005)Portfolio performance evaluat…Fuzzy chance-constrained portfolio selection (2005)Fuzzy chance-constrained port…An MCDM approach to portfolio optimization (2003)An MCDM approach to portfolio…Ranking fuzzy numbers based on decomposition principle and signed distance (2000)Ranking fuzzy numbers based o…A review of some methods for ranking fuzzy subsets (1985)A review of some methods for …Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…Higher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels (2021)Multi-period portfolio select…A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns (2020)A Credibilistic Fuzzy DEA App…A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)Efficiency and Cross-efficiency in DEA: Derivations, Meanings and Uses (1994)DEA cross-efficiency evaluation considering undesirable output and ranking priority: a case study of eco-efficiency analysis of coal-fired power plants (2016)Cross-efficiency evaluation in data envelopment analysis based on prospect theory (2018)Social responsibility portfolio optimization incorporating ESG criteria (2021)Portfolio Selection: Efficient Diversification of Investments (1959)Fuzzy sets (1965)Fuzzy sets (1996)Mean-Entropy Models for Fuzzy Portfolio Selection (2008)Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns (2015)Portfolio Selection (1952)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Portfolio optimization with an envelope-based multi-objective evolutionary algorithm (2008)Heuristic algorithms for the cardinality constrained efficient frontier (2011)Artificial Intelligence Applied to Stock Market Trading: A Review (2021)the delphi method: techniques and applications (1975)Decision Making in a Fuzzy Environment (2007)Fuzzy portfolio selection using fuzzy analytic hierarchy process (2008)Portfolio selection based on fuzzy cross-entropy (2008)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)Ranking fuzzy numbers with maximizing set and minimizing set (1985)A fuzzy simple additive weighting system under group decision-making for facility location selection with objective/subjective attributes (2007)A new approach for ranking of trapezoidal fuzzy numbers (2008)A taxonomy and review of the fuzzy data envelopment analysis literature: Two decades in the making (2011)The Measurement of Productive Efficiency (1957)Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)A slacks-based measure of efficiency in data envelopment analysis (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Constrained Portfolio Selection using Particle Swarm Optimization (2011)A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)Liquidity Preference as Behavior Towards Risk (1958)Twenty years of linear programming based portfolio optimization (2013)A Simplified Model for Portfolio Analysis (1963)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Conditional Skewness in Asset Pricing Tests (2000)Improved Portfolio Choice Using Second Order Stochastic Dominance (2010)Asset Allocation with Conditional Value-at-Risk Budgets (2012)Extremal dependence tests for contagion (2015)Reasonable properties for the ordering of fuzzy quantities (II) (2001)Ranking fuzzy numbers with an area between the centroid point and original point (2002)Deriving priorities from fuzzy pairwise comparison judgements (2003)
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References

  • 1978Measuring the efficiency of decision making units29,755 cited
  • 1985A review of some methods for ranking fuzzy subsets939 cited
  • 2000Ranking fuzzy numbers based on decomposition principle and signed distance542 cited
  • 2003An MCDM approach to portfolio optimization323 cited
  • 2009Portfolio optimization problems in different risk measures using genetic algorithm288 cited
  • 2008Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm224 cited
  • 2013Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market197 cited
  • 2009Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection196 cited
  • 2007Asset portfolio optimization using fuzzy mathematical programming193 cited
  • 2005Fuzzy chance-constrained portfolio selection144 cited
  • 2007Generalized DEA model of fundamental analysis and its application to portfolio optimization142 cited
  • 2005Portfolio performance evaluation in a mean–variance–skewness framework141 cited
  • 2007Possibilistic mean–variance models and efficient frontiers for portfolio selection problem140 cited
  • 2006Two new models for portfolio selection with stochastic returns taking fuzzy information

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132 cited
  • 2008Multi-objective possibilistic model for portfolio selection with transaction cost122 cited
  • 2010Fuzzy mean–variance–skewness portfolio selection models by interval analysis116 cited
  • Cited by

    • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
    • 2020A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns38 cited
    • 2021Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels38 cited