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A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio
16 references·4 citing·38 second hop
A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio (2018)A Multi-Objective Portfolio Selection Mod…Fuzzy multi-period portfolio selection with different investment horizons (2016)Fuzzy multi-period portfolio …Uncertain portfolio adjusting model using semiabsolute deviation (2014)Uncertain portfolio adjusting…Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection (2011)Mean-Variance-Skewness-Entrop…Fuzzy-Portfolio-Selection Models With Value-at-Risk (2011)Fuzzy-Portfolio-Selection Mod…Mean-risk model for uncertain portfolio selection (2010)Mean-risk model for uncertain…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Multi-objective possibilistic model for portfolio selection with transaction cost (2008)Multi-objective possibilistic…Mean-Entropy Models for Fuzzy Portfolio Selection (2008)Mean-Entropy Models for Fuzzy…A Hybrid System Integrating a Wavelet and TSK Fuzzy Rules for Stock Price Forecasting (2008)A Hybrid System Integrating a…Mean-semivariance models for fuzzy portfolio selection (2007)Mean-semivariance models for …Mean-risk models using two risk measures: a multi-objective approach (2007)Mean-risk models using two ri…A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)A Comparison of VaR and CVaR …Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Economic implications of usin…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…The Sharpe Ratio (1994)The Sharpe RatioPortfolio Selection (1952)Portfolio SelectionHigher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…BERT’s sentiment score for portfolio optimization: a fine-tuned view in Black and Litterman model (2022)BERT’s sentiment score for po…A new approach to the bi-criteria multi-period fuzzy portfolio selection (2021)A new approach to the bi-crit…A Multiperiod Multiobjective Portfolio Selection Model With Fuzzy Random Returns for Large Scale Securities Data (2020)A Multiperiod Multiobjective …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Coherent Measures of Risk (1999)Portfolio Choice Problems (2010)Portfolio optimization with return prediction using deep learning and machine learning (2020)Optimization of conditional value-at-risk (2000)Handling CVaR objectives and constraints in two-stage stochastic models (2007)Processing second-order stochastic dominance models using cutting-plane representations (2009)Does ESG Impact Really Enhance Portfolio Profitability? (2022)PORTFOLIO SELECTION* (1952)Fuzzy sets (1965)Fuzzy sets (1996)A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection (2011)Portfolio rebalancing with an investment horizon and transaction costs (2012)An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem (2015)Options, Futures and Other Derivatives (2003)Risk Measures for Hedge Funds: a Cross‐sectional Approach (2007)Robust portfolios: contributions from operations research and finance (2009)“Options, Futures, and Other Derivatives” (2016)The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Portfolio selection: a fuzzy-ANP approach (2020)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)A definition of a nonprobabilistic entropy in the setting of fuzzy sets theory (1972)Forecasting volatility by integrating financial risk with environmental, social, and governance risk (2021)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Portfolio selection based on fuzzy cross-entropy (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
  • 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 2007Mean-semivariance models for fuzzy portfolio selection252 cited
  • 2008Mean-Entropy Models for Fuzzy Portfolio Selection129 cited
  • 2008Multi-objective possibilistic model for portfolio selection with transaction cost122 cited
  • 2007Mean-risk models using two risk measures: a multi-objective approach118 cited
  • 2008A Hybrid System Integrating a Wavelet and TSK Fuzzy Rules for Stock Price Forecasting117 cited
  • 2010Mean-risk model for uncertain portfolio selection105 cited
  • 2014Uncertain portfolio adjusting model using semiabsolute deviation98 cited
  • 2011Fuzzy-Portfolio-Selection Models With Value-at-Risk98 cited
  • 2016Fuzzy multi-period portfolio selection with different investment horizons

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98 cited
  • 2011Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection95 cited
  • Cited by

    • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
    • 2020A Multiperiod Multiobjective Portfolio Selection Model With Fuzzy Random Returns for Large Scale Securities Data34 cited
    • 2022BERT’s sentiment score for portfolio optimization: a fine-tuned view in Black and Litterman model33 cited
    • 2021A new approach to the bi-criteria multi-period fuzzy portfolio selection33 cited