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Portfolio selection based on upper and lower exponential possibility distributions

Citations

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Cited by:

  1. 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.
  2. Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
  3. Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé, 2012. "Moments and semi-moments for fuzzy portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 517-530.
  4. Deng, Xue & Chen, Jiaxing & Wang, Xu & Geng, Fengting, 2022. "Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 59-78.
  5. Barbara Glensk & Reinhard Madlener, 2018. "Fuzzy Portfolio Optimization of Power Generation Assets," Energies, MDPI, vol. 11(11), pages 1-22, November.
  6. Liu, Weilong & Zhang, Yong & Liu, Kailong & Quinn, Barry & Yang, Xingyu & Peng, Qiao, 2023. "Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns," QBS Working Paper Series 2023/02, Queen's University Belfast, Queen's Business School.
  7. Li, Y.P. & Huang, G.H. & Guo, P. & Yang, Z.F. & Nie, S.L., 2010. "A dual-interval vertex analysis method and its application to environmental decision making under uncertainty," European Journal of Operational Research, Elsevier, vol. 200(2), pages 536-550, January.
  8. Li, Bo & Lu, Ziqiang, 2023. "Uncertain random enhanced index tracking for portfolio selection with parameter estimation and hypothesis test," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
  9. Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.
  10. Perez Gladish, B. & Jones, D.F. & Tamiz, M. & Bilbao Terol, A., 2007. "An interactive three-stage model for mutual funds portfolio selection," Omega, Elsevier, vol. 35(1), pages 75-88, February.
  11. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem, 2022. "A fuzzy multifactor asset pricing model," Annals of Operations Research, Springer, vol. 313(2), pages 1221-1241, June.
  12. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
  13. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
  14. Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
  15. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  16. 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.
  17. Rachida Hennani & Michel Terraza, 2012. "Value-at-Risk stressée chaotique d’un portefeuille bancaire," Working Papers 12-23, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  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. 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.
  20. Ramli, Azizul Azhar & Watada, Junzo & Pedrycz, Witold, 2011. "Real-time fuzzy regression analysis: A convex hull approach," European Journal of Operational Research, Elsevier, vol. 210(3), pages 606-617, May.
  21. Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
  22. 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.
  23. Tsaur, Ruey-Chyn, 2013. "Fuzzy portfolio model with different investor risk attitudes," European Journal of Operational Research, Elsevier, vol. 227(2), pages 385-390.
  24. Kuen-Suan Chen & Ruey-Chyn Tsaur & Nei-Chih Lin, 2022. "Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates," Mathematics, MDPI, vol. 11(1), pages 1-13, December.
  25. Li, Xiang & Shou, Biying & Qin, Zhongfeng, 2012. "An expected regret minimization portfolio selection model," European Journal of Operational Research, Elsevier, vol. 218(2), pages 484-492.
  26. A Bilbao & M Arenas & M Jiménez & B Perez Gladish & M V Rodríguez, 2006. "An extension of Sharpe's single-index model: portfolio selection with expert betas," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(12), pages 1442-1451, December.
  27. Louis Aimé Fono & Jules Sadefo-Kamdem & Christian Deffo Tassak, 2011. "Kurtosis And Semi-Kurtosis For Portfolio Selection With Fuzzy Returns," Post-Print hal-02938898, HAL.
  28. 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.
  29. Milena Bonacic & Héctor López-Ospina & Cristián Bravo & Juan Pérez, 2024. "A Fuzzy Entropy Approach for Portfolio Selection," Mathematics, MDPI, vol. 12(13), pages 1-20, June.
  30. Guo, Peijun & Tanaka, Hideo, 2003. "Decision analysis based on fused double exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 148(3), pages 467-479, August.
  31. 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.
  32. 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.
  33. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
  34. 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.
  35. 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.
  36. Ruey-Chyn Tsaur & Chien-Liang Chiu & Yin-Yin Huang, 2021. "Fuzzy Portfolio Selection in COVID-19 Spreading Period Using Fuzzy Goal Programming Model," Mathematics, MDPI, vol. 9(8), pages 1-15, April.
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