Uncertain Portfolio Optimization
Başlık:
Uncertain Portfolio Optimization
Yazar:
Qin, Zhongfeng. author.
ISBN:
9789811018107
Yazar:
Fiziksel Niteleme:
XIII, 192 p. 45 illus., 25 illus. in color. online resource.
Seri:
Uncertainty and Operations Research,
İçindekiler:
Preface -- 1 Preliminaries -- 2 Credibilistic Mean-Variance-Skewness Model -- 3 Credibilistic Mean-Absolute Deviation Model -- 4 Minimization Model -- 5 Uncertain Mean-Semiabsolude Deviation Model -- 6 Uncertain Mean-LPMs Model -- 7 Interval Mean-Semiabsolute Deviation Model -- 8 Uncertain Random Mean-Variance Model -- 9 Fuzzy Random Mean-Variance Adjusting Model -- 10 Random Fuzzy Mean-Risk Model -- Bibliography -- List of Frequently Used Symbols. .
Özet:
This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.
Ek Kurum Yazar:
Elektronik Erişim:
http://dx.doi.org/10.1007/978-981-10-1810-7