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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Vydané v:	Information sciences Ročník 567; s. 348 - 374
Hlavní autori:	Mehlawat, Mukesh Kumar, Gupta, Pankaj, Khan, Ahmad Zaman
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier Inc 01.08.2021
Predmet:	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
On-line prístup:	Získať plný text
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