Minimax mean-variance models for fuzzy portfolio selection
This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linea...
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| Published in | Soft computing (Berlin, Germany) Vol. 15; no. 2; pp. 251 - 260 |
|---|---|
| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Berlin/Heidelberg
Springer-Verlag
01.02.2011
Springer Nature B.V |
| Subjects | |
| Online Access | Get full text |
| ISSN | 1432-7643 1433-7479 |
| DOI | 10.1007/s00500-010-0654-3 |
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| Abstract | This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented. |
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| AbstractList | This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented. |
| Author | Huang, Xiaoxia |
| Author_xml | – sequence: 1 givenname: Xiaoxia surname: Huang fullname: Huang, Xiaoxia email: hxiaoxia@manage.ustb.edu.cn organization: School of Economics and Management, University of Science and Technology Beijing |
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| CitedBy_id | crossref_primary_10_1007_s12652_019_01323_0 crossref_primary_10_1016_j_ejor_2011_11_015 crossref_primary_10_1007_s10479_018_2876_1 crossref_primary_10_1109_TFUZZ_2013_2272479 crossref_primary_10_1080_1331677X_2021_1968308 crossref_primary_10_3390_e22090932 crossref_primary_10_1007_s10700_017_9266_z crossref_primary_10_1016_j_knosys_2021_107582 crossref_primary_10_3233_JIFS_211766 crossref_primary_10_1007_s40092_018_0292_4 crossref_primary_10_1007_s00500_021_05980_2 crossref_primary_10_1016_j_apm_2011_09_081 crossref_primary_10_1016_j_ins_2016_01_042 crossref_primary_10_1142_S0219622014500059 crossref_primary_10_1007_s00500_016_2325_5 crossref_primary_10_1016_j_engappai_2017_10_010 crossref_primary_10_1007_s00500_016_2396_3 crossref_primary_10_1007_s00500_019_03929_0 crossref_primary_10_1109_TFUZZ_2019_2946110 crossref_primary_10_1080_1331677X_2020_1842225 |
| Cites_doi | 10.1016/j.ejor.2006.04.010 10.1007/s10700-009-9064-3 10.1016/S0377-2217(98)00258-6 10.3905/jpm.1997.409627 10.1111/j.1468-5957.1994.tb00315.x 10.1016/j.ejor.2004.01.040 10.2307/2975974 10.1016/j.ejor.2005.10.053 10.1016/j.fss.2005.10.002 10.1109/72.572092 10.1016/j.cam.2007.06.009 10.1016/S0893-6080(05)80131-5 10.2307/1907413 10.1109/TFUZZ.2002.800692 10.1016/j.ins.2007.01.030 10.1016/S0377-2217(00)00298-8 10.1080/03081070601176422 10.1016/j.ejor.2005.10.014 10.1016/j.amc.2005.04.003 10.1016/j.ejor.2005.10.021 10.1080/0020772031000158492 10.1016/S0165-0114(01)00251-2 10.1016/j.ins.2007.03.029 10.1016/j.ejor.2007.01.045 10.1016/S0165-0114(98)00041-4 10.1142/S0218488507004595 10.1007/978-3-7908-1781-2 10.1016/j.omega.2007.06.002 |
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| Keywords | Portfolio optimization Investment analysis Fuzzy programming Minimax model Fuzzy portfolio selection |
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| SubjectTerms | Algorithms Artificial Intelligence Computational Intelligence Control Credibility Engineering Expected values Fuzzy sets Investors Linear programming Mathematical Logic and Foundations Mechatronics Minimax technique Original Paper Random variables Robotics Variance |
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| Title | Minimax mean-variance models for fuzzy portfolio selection |
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