Portfolio optimization using higher moments in an uncertain random environment

In this paper, a multi-objective portfolio optimization problem is studied in an uncertain random environment using higher moments. We consider a scenario involving an asset universe wherein some assets have sufficient historical return data for modelling as random variables, and others, listed rela...

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Veröffentlicht in:	Information sciences Jg. 567; S. 348 - 374
Hauptverfasser:	Mehlawat, Mukesh Kumar, Gupta, Pankaj, Khan, Ahmad Zaman
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Elsevier Inc 01.08.2021
Schlagworte:	Chance distribution Multi-objective programming Portfolio optimization Real-coded genetic algorithm Uncertain measure Uncertain random variable Portfolio optimization Chance distribution Multi-objective programming Uncertain random variable Real-coded genetic algorithm Uncertain measure
ISSN:	0020-0255, 1872-6291
Online-Zugang:	Volltext
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