A multi-period fuzzy mean-minimax risk portfolio model with investor’s risk attitude

Author:

Yang Xingyu,Liu Weilong,Chen Sidou,Zhang YongORCID

Funder

National Natural Science Foundation of China

Humanities and Social Science Foundation of the Ministry of Education of China

Guangdong Province Universities and Colleges Pearl River Scholar Funded Scheme

Publisher

Springer Science and Business Media LLC

Subject

Geometry and Topology,Theoretical Computer Science,Software

Reference45 articles.

1. Barati MA, Mohammadi M, Naderi B (2016) Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm. Int J Ind Eng Comput 7(2):217–228

2. Bergh FVD, Engelbrecht AP (2001) Training product unit networks using cooperative particle swarm optimisers. In: International joint conference on neural networks, pp 126–131

3. Cai XQ, Teo KL, Yang XQ, Zhou XY (2000) Portfolio optimization under a minimax rule. Manag Sci 46(7):957–972

4. Carlsson C, Robert F, Majlender P (2002) A possibilistic approach to selecting portfolios with highest utility score. Fuzzy Sets Syst 131(1):13–21

5. Chow K, Denning KC (1994) On variance and lower partial moment betas: the equivalence of systematic risk measure. J Bus Finan Acc 21(2):231–241

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