Multi-period fuzzy portfolio optimization model subject to real constraints

Author:

El Kharrim MoadORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Business, Management and Accounting (miscellaneous),Statistics and Probability,General Decision Sciences

Reference65 articles.

1. Entropic value-at-risk: a new coherent risk measure;Ahmadi-Javid;J. Optim. Theory Appl.,2012

2. Multi-period Markowitz model and optimal self-financing strategy with commission;Al-Nator;J. Math. Sci.,2020

3. The mean-variance cardinality constrained portfolio optimization problem: an experimental evaluation of five multiobjective evolutionary algorithms;Anagnostopoulos;Expert Syst. Appl.,2011

4. CVaR reduced fuzzy variables and their second order moments;Bai;Iranian J. Fuzzy Syst.,2015

5. Multiperiod mean-standard-deviation time consistent portfolio selection;Bannister;Automatica,2016

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