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Viability of infeasible portfolio selection problems: A fuzzy approach

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  • Leon, T.
  • Liern, V.
  • Vercher, E.

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  • Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
    • Handle: RePEc:eee:ejores:v:139:y:2002:i:1:p:178-189
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Cooper, W. W. & Lelas, V. & Sueyoshi, T., 1997. "Goal programming models and their duality relations for use in evaluating security portfolio and regression relations," European Journal of Operational Research, Elsevier, vol. 98(2), pages 431-443, April.
    3. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    4. Tanaka, Hideo & Guo, Peijun, 1999. "Portfolio selection based on upper and lower exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 114(1), pages 115-126, April.
    5. Charles D. Feinstein & Mukund N. Thapa, 1993. "Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model," Management Science, INFORMS, vol. 39(12), pages 1552-1553, December.
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    Cited by:

    1. Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.
    2. C Papahristodoulou & E Dotzauer, 2004. "Optimal portfolios using linear programming models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(11), pages 1169-1177, November.
    3. Clara Calvo & Carlos Ivorra & Vicente Liern, 2016. "Fuzzy Portfolio Selection Including Cardinality Constraints and Integer Conditions," Journal of Optimization Theory and Applications, Springer, vol. 170(1), pages 343-355, July.
    4. Hemant Jalota & Manoj Thakur, 2018. "Genetic algorithm designed for solving portfolio optimization problems subjected to cardinality constraint," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 9(1), pages 294-305, February.
    5. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
    6. Xi-li Zhang & Wei-Guo Zhang & Wei-jun Xu & Wei-Lin Xiao, 2010. "Possibilistic Approaches to Portfolio Selection Problem with General Transaction Costs and a CLPSO Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 191-200, October.
    7. Zhang, Wei-Guo & Zhang, Xili & Chen, Yunxia, 2011. "Portfolio adjusting optimization with added assets and transaction costs based on credibility measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 353-360.
    8. Zhang, Wei-Guo & Xiao, Wei-Lin & Xu, Wei-Jun, 2010. "A possibilistic portfolio adjusting model with new added assets," Economic Modelling, Elsevier, vol. 27(1), pages 208-213, January.
    9. Zhang, Wei-Guo & Zhang, Xi-Li & Xiao, Wei-Lin, 2009. "Portfolio selection under possibilistic mean-variance utility and a SMO algorithm," European Journal of Operational Research, Elsevier, vol. 197(2), pages 693-700, September.
    10. Tsaur, Ruey-Chyn, 2013. "Fuzzy portfolio model with different investor risk attitudes," European Journal of Operational Research, Elsevier, vol. 227(2), pages 385-390.
    11. Zhang, Wei-Guo & Zhang, Xi-Li & Xu, Wei-Jun, 2010. "A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 493-499, June.
    12. Yong-Jun Liu & Wei-Guo Zhang, 2018. "Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 941-968, May.
    13. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2013. "Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment," Economic Modelling, Elsevier, vol. 31(C), pages 12-17.
    14. Madlener, Reinhard & Glensk, Barbara & Weber, Veronika, 2011. "Fuzzy Portfolio Optimization of Onshore Wind Power Plants," FCN Working Papers 10/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Jul 2014.
    15. Fang, Yong & Lai, K.K. & Wang, Shou-Yang, 2006. "Portfolio rebalancing model with transaction costs based on fuzzy decision theory," European Journal of Operational Research, Elsevier, vol. 175(2), pages 879-893, December.
    16. Yong-Jun Liu & Wei-Guo Zhang & Jun-Bo Wang, 2016. "Multi-period cardinality constrained portfolio selection models with interval coefficients," Annals of Operations Research, Springer, vol. 244(2), pages 545-569, September.
    17. Jiuping Xu & Xiaoyang Zhou & Steven Li, 2011. "A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment," Journal of Optimization Theory and Applications, Springer, vol. 150(3), pages 530-552, September.
    18. Takashi Hasuike & Mukesh Kumar Mehlawat, 2018. "Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse," Annals of Operations Research, Springer, vol. 269(1), pages 205-221, October.
    19. Ruey-Chyn Tsaur, 2015. "Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(3), pages 438-450, February.
    20. Takashi Hasuike & Hiroaki Ishii, 2009. "Probability maximization models for portfolio selection under ambiguity," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 17(2), pages 159-180, June.
    21. Zhang Peng & Gong Heshan & Lan Weiting, 2017. "Multi-Period Mean-Absolute Deviation Fuzzy Portfolio Selection Model with Entropy Constraints," Journal of Systems Science and Information, De Gruyter, vol. 4(5), pages 428-443, October.

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