Paper Info
Title
A Mixed Portfolio Selection Problem.
Abstract
The mixed portfolio selection problem studied in this paper corresponds to a situation of financial risk management in which some return rates are mathematically described by random variables and others are described by fuzzy numbers. Both Markowitz probabilistic model and a possibilistic portfolio selection model are generalized. A calculation formula for the optimal solution of the portfolio problem and a formula which gives the minimum value of the associated risk are proved.
Year
DOI
Venue
2012
10.1007/978-3-642-28765-7_13
DISTRIBUTED COMPUTING AND ARTIFICIAL INTELLIGENCE
Field
DocType
Volume
Financial risk management,Random variable,Mathematical optimization,Computer science,Post-modern portfolio theory,Portfolio,Portfolio optimization,Statistical model,Artificial intelligence,Fuzzy number,Machine learning,Merton's portfolio problem
Conference
151
ISSN
Citations 
PageRank 
1867-5662
0
0.34
References 
Authors
8
2
Name
Order
Citations
PageRank
Irina Georgescu17915.48
Jani Kinnunen2144.20