Fuzzy chance-constrained portfolio selection

This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based portfolio selection model are provided according to two types of chance criteria. By one chance criterion, the objective is to maximize the inves...

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Veröffentlicht in:	Applied mathematics and computation Jg. 177; H. 2; S. 500 - 507
1. Verfasser:	Huang, Xiaoxia
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York, NY Elsevier Inc 15.06.2006 Elsevier
Schlagworte:	Algorithmics. Computability. Computer arithmetics Applied sciences Computer science; control theory; systems Exact sciences and technology Fuzzy chance-constrained programming Fuzzy portfolio selection Genetic algorithm Mathematical programming Operational research and scientific management Operational research. Management science Portfolio theory Theoretical computing Fuzzy chance-constrained programming Genetic algorithm Fuzzy portfolio selection Membership function Portfolio selection Algorithm performance Applied mathematics Model selection Selection method Hybrid model Fuzzy programming
ISSN:	0096-3003, 1873-5649
Online-Zugang:	Volltext
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