Modeling of linear uncertain portfolio selection with uncertain constraint and risk index
Author:
Funder
the Technology and Innovation Major Project of the Ministry of Science and Technology of China
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10700-024-09429-7.pdf
Reference24 articles.
1. Benati, S., & Conde, E. (2022). A relative robust approach on expected returns with bounded CVaR for portfolio selection. European Journal of Operational Research, 296(1), 332–352.
2. Chen, W., Li, D., & Liu, Y.-J. (2018). A novel hybrid ICA-FA algorithm for multiperiod uncertain portfolio optimization model based on multiple criteria. IEEE Transactions on Fuzzy Systems, 27(5), 1023–1036.
3. Dymova, L., Kaczmarek, K., & Sevastjanov, P. (2021). A new approach to the bi-criteria multi-period fuzzy portfolio selection. Knowledge-Based Systems, 234, 107582.
4. Frej, E. A., Ekel, P., & de Almeida, A. T. (2021). A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information. Information Sciences, 545, 487–498.
5. Guo, W., Zhang, W.-G., & Chen, X. (2024). Portfolio selection models considering fuzzy preference relations of decision makers. In IEEE Transactions on Systems, Man, and Cybernetics: Systems, in press. https://doi.org/10.1109/TSMC.2023.3342038
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