General uncertainty in portfolio selection: A case-based decision approach
نویسندگان
چکیده
منابع مشابه
XML-Based Decision Support Systems: Case Study For Portfolio Selection
The extensible, structural and validated nature of XML provides standard data representation for efficient data interchange among diverse information resources available on the Web. Therefore, it leads to its growing recognition in e-commerce and Internet-based information exchange. In this paper, we stress the adoption of XML technology in developing efficient and flexible Web-enabled decision...
متن کاملPortfolio selection under distributional uncertainty: A relative robust CVaR approach
Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underlying probability distribution of portfolio return is only known to belong to a certain set. Our ap...
متن کاملRobust portfolio selection based on a joint ellipsoidal uncertainty set
‘Separable’ uncertainty sets have been widely used in robust portfolio selection models (e.g. see [E. Erdoğan, D. Goldfarb, and G. Iyengar, Robust portfolio management, manuscript, Department of Industrial Engineering and Operations Research, Columbia University, New York, 2004; D. Goldfarb and G. Iyengar, Robust portfolio selection problems, Math. Oper. Res. 28 (2003), pp. 1–38; R.H. Tütüncü a...
متن کاملA fuzzy random multi-objective approach for portfolio selection
In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...
متن کاملLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Behavior & Organization
سال: 2008
ISSN: 0167-2681
DOI: 10.1016/j.jebo.2007.08.004