A possibilistic approach to selecting portfolios with highest utility score
Fuzzy Sets and Systems - Special issue: Soft decision analysis
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
Portfolio selection based on fuzzy cross-entropy
Journal of Computational and Applied Mathematics
Theory and Practice of Uncertain Programming
Theory and Practice of Uncertain Programming
A stochastic soft constraints fuzzy model for a portfolio selection problem
Fuzzy Sets and Systems
Portfolio adjusting optimization under credibility measures
Journal of Computational and Applied Mathematics
Existence and uniqueness theorem for uncertain differential equations
Fuzzy Optimization and Decision Making
UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
Cybernetics and Systems
Mean-risk model for uncertain portfolio selection
Fuzzy Optimization and Decision Making
Mean-variance models for portfolio selection subject to experts' estimations
Expert Systems with Applications: An International Journal
On the convergence of uncertain sequences
Mathematical and Computer Modelling: 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 multi-period uncertain portfolio selection
Information Sciences: an International Journal
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Portfolio selection is concerned with selecting an optimal portfolio that can strike a balance between maximizing the return and minimizing the risk among a large number of securities. Traditionally, security returns were regarded as random variables. However, there are cases that the predictions of security returns are given mainly based on experts' judgements and estimations rather than historical data. In this paper, we introduce a new type of variable to reflect the subjective estimations of the security returns. A risk index for uncertain portfolio selection is proposed and a new safe criterion for judging the portfolio investment is introduced. Based on the proposed risk index, a new mean-risk index model is developed and its crisp forms are given. In addition, to illustrate the application of the model, two numerical examples are also presented.