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Two new models for portfolio selection with stochastic returns taking fuzzy information

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  • Huang, Xiaoxia

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  • Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
    • Handle: RePEc:eee:ejores:v:180:y:2007:i:1:p:396-405
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    1. Michael J. Best & Jaroslava Hlouskova, 2000. "The efficient frontier for bounded assets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 52(2), pages 195-212, November.
    2. Xiaoqiang Cai & Kok-Lay Teo & Xiaoqi Yang & Xun Yu Zhou, 2000. "Portfolio Optimization Under a Minimax Rule," Management Science, INFORMS, vol. 46(7), pages 957-972, July.
    3. Ghezzi, Luca Luigi, 1999. "A maxmin policy for bond management," European Journal of Operational Research, Elsevier, vol. 114(2), pages 389-394, April.
    4. Deng, Xiao-Tie & Li, Zhong-Fei & Wang, Shou-Yang, 2005. "A minimax portfolio selection strategy with equilibrium," European Journal of Operational Research, Elsevier, vol. 166(1), pages 278-292, October.
    5. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. Li, Susan X. & Huang, Zhimin, 1996. "Determination of the portfolio selection for a property-liability insurance company," European Journal of Operational Research, Elsevier, vol. 88(2), pages 257-268, January.
    8. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    9. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 285-311, September.
    10. Zhao, Ruiqing & Liu, Baoding, 2004. "Redundancy optimization problems with uncertainty of combining randomness and fuzziness," European Journal of Operational Research, Elsevier, vol. 157(3), pages 716-735, September.
    11. 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.
    12. Yusif Simaan, 1997. "Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model," Management Science, INFORMS, vol. 43(10), pages 1437-1446, October.
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    Cited by:

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    2. Jiří Fotr, 2016. "Practices, methods and tools for project portfolio management," Ekonomika a Management, Prague University of Economics and Business, vol. 2016(4).
    3. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    4. Piasecki Krzysztof, 2014. "Intuitionistic Assessment Of Behavioural Present Value," Folia Oeconomica Stetinensia, Sciendo, vol. 13(2), pages 49-62.
    5. Piasecki, Krzysztof, 2011. "Effectiveness of securities with fuzzy probabilistic return," MPRA Paper 46214, University Library of Munich, Germany.
    6. Shvedov, Alexey, 2016. "Estimating the means and the covariances of fuzzy random variables," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 121-138.
    7. Gumsong Jo & Hyokil Kim & Hoyong Kim & Gyongho Ri, 2024. "Fuzzy Portfolio Selection Using Stochastic Correlation," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1493-1509, April.
    8. 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.
    9. Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
    10. Limei Yan, 2009. "Optimal Portfolio Selection Models with Uncertain Returns," Modern Applied Science, Canadian Center of Science and Education, vol. 3(8), pages 1-76, August.
    11. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
    12. Anna Łyczkowska-Hanćkowiak, 2019. "Sharpe’s Ratio for Oriented Fuzzy Discount Factor," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
    13. Krzysztof M. Piasecki, 2011. "Effectiveness of securities with fuzzy probabilistic return," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 21(2), pages 65-78.
    14. Hasuike, Takashi & Ishii, Hiroaki, 2009. "On flexible product-mix decision problems under randomness and fuzziness," Omega, Elsevier, vol. 37(4), pages 770-787, August.
    15. Li, Jun & Xu, Jiuping, 2009. "A novel portfolio selection model in a hybrid uncertain environment," Omega, Elsevier, vol. 37(2), pages 439-449, April.
    16. Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
    17. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
    18. Limei Yan, 2009. "Chance-constrained Programming Model for Portfolio Selection in Uncertain Environment," Modern Applied Science, Canadian Center of Science and Education, vol. 3(10), pages 1-89, October.
    19. Krzysztof Piasecki & Joanna Siwek, 2018. "The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 28(1), pages 57-74.

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