A possibilistic approach to selecting portfolios with highest utility score
Fuzzy Sets and Systems - Special issue: Soft decision analysis
Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
Information Sciences: an International Journal
Asset portfolio optimization using fuzzy mathematical programming
Information Sciences: an International Journal
Portfolio selection with fuzzy returns
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
Mean-semivariance models for fuzzy portfolio selection
Journal of Computational and Applied Mathematics
Multi-period portfolio optimization with linear control policies
Automatica (Journal of IFAC)
A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
Automatica (Journal of IFAC)
Expert Systems with Applications: An International Journal
Portfolio selection based on fuzzy cross-entropy
Journal of Computational and Applied Mathematics
UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
Cybernetics and Systems
Information Sciences: an International Journal
Mean-risk model for uncertain portfolio selection
Fuzzy Optimization and Decision Making
Shortest path problem with uncertain arc lengths
Computers & Mathematics with Applications
Optimal multinational capital budgeting under uncertainty
Computers & Mathematics with Applications
Mean-variance models for portfolio selection subject to experts' estimations
Expert Systems with Applications: An International Journal
Selection of Socially Responsible Portfolios using Goal Programming and fuzzy technology
Information Sciences: an International Journal
Cross-entropy measure of uncertain variables
Information Sciences: an International Journal
Short communication: A note on truth value in uncertain logic
Expert Systems with Applications: An International Journal
Uncertainty Theory: A Branch of Mathematics for Modeling Human Uncertainty
Uncertainty Theory: A Branch of Mathematics for Modeling Human Uncertainty
A risk index model for portfolio selection with returns subject to experts' estimations
Fuzzy Optimization and Decision Making
Hi-index | 0.07 |
This paper discusses a multi-period portfolio selection problem when security returns are given by experts' evaluations. The security return rates are regarded as uncertain variables and an uncertain risk index adjustment model is proposed. Optimal portfolio adjustments are determined with the objective of maximizing the total incremental wealth within the constraints of controlling the cumulative risk index value over the investment horizon and satisfying self-financing at each period. To enable the users to solve the model problem with currently available programming tools, an equivalent of the model is provided. In addition, a method of obtaining the uncertainty distributions of the security returns is given based on experts' evaluations, and a selection example is presented.