A new uncertain random portfolio optimization model for complex systems with downside risks and diversification-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

A new uncertain random portfolio optimization model for complex systems with downside risks and diversification

Published:2022-07 Issue: Volume:160 Page:112213
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Li Bo,Li Xiangfa,Teo Kok Lay,Zheng Peiyao

Funder

Natural Science Foundation of Jiangsu Province

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference41 articles.

1. Portfolio selection;Markowitz;J Financ,1952

2. A mean-variance-skewness portfolio optimization model;Konno;J Oper Res Soc Jpn,1995

3. Portfolio selection with a new definition of risk;Huang;Eur J Oper Res,2008

4. A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset;Tong;Appl Math Comput,2010

5. VaR optimal portfolio with transaction costs;Krejic;Appl Math Comput,2011

Cited by 15 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Developing a hybrid system for stock selection and portfolio optimization with many-objective optimization based on deep learning and improved NSGA-III;Information Sciences;2024-06

2. Optimal control and zero‐sum game subject to differential equations with Liu processes and random matrices;Optimal Control Applications and Methods;2024-01-17

3. Centrality-Based Equal Risk Contribution Portfolio;Risks;2024-01-02

4. Uncertain mean-CVaR model for portfolio selection with transaction cost and investors’ preferences;The North American Journal of Economics and Finance;2024-01

5. Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost;Journal of Inequalities and Applications;2023-11-21

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3