Uncertain minimax mean-variance and mean-semivariance models for portfolio selection1
- 10 August 2022
- journal article
- research article
- Published by IOS Press in Journal of Intelligent & Fuzzy Systems
- Vol. 43 (4), 4723-4740
- https://doi.org/10.3233/jifs-211766
Abstract
Traditionally, the return on investment has been described as either a random variable or a fuzzy variable, while this paper discusses the uncertain portfolio selection in which each security return is assumed to be an uncertain variable. To better oKeywords
This publication has 26 references indexed in Scilit:
- Risk index based models for portfolio adjusting problem with returns subject to experts' evaluationsEconomic Modelling, 2013
- Portfolio selection with mental accounts and delegationJournal of Banking & Finance, 2011
- Mean-risk model for uncertain portfolio selectionFuzzy Optimization and Decision Making, 2010
- Minimax mean-variance models for fuzzy portfolio selectionSoft Computing, 2010
- Mean-variance-skewness model for portfolio selection with fuzzy returnsEuropean Journal of Operational Research, 2010
- Existence and uniqueness theorem for uncertain differential equationsFuzzy Optimization and Decision Making, 2010
- Mean-semivariance models for fuzzy portfolio selectionJournal of Computational and Applied Mathematics, 2008
- A minimax portfolio selection strategy with equilibriumEuropean Journal of Operational Research, 2005
- Expected value of fuzzy variable and fuzzy expected value modelsIEEE Transactions on Fuzzy Systems, 2002
- Fuzzy setsInformation and Control, 1965