Weapon system portfolio selection based on structural robustness
نویسندگان
چکیده
منابع مشابه
Robustness-based portfolio optimization under epistemic uncertainty
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...
متن کاملRobustness in portfolio optimization based on minimax regret approach
Portfolio optimization is one of the most important issues for effective and economic investment. There is plenty of research in the literature addressing this issue. Most of these pieces of research attempt to make the Markowitz’s primary portfolio selection model more realistic or seek to solve the model for obtaining fairly optimum portfolios. An efficient frontier in the ...
متن کاملPortfolio selection based on fuzzy cross-entropy
In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as cross-entropy, average return as expected value and risk as variance, semivariance and chance of bad outcome, respec...
متن کاملPortfolio Selection Based on a Simulated Copula
In this paper, we propose a methodology to value the portfolio choices based on the prediction of future returns where the dependence structure of joint returns and the behavior of single returns are estimated separately. In particular, we assume the marginals evolve as an ARMA(0,2)-GARCH(0,2) model with stable paretian residuals and the joint distribution of residuals is estimated with an asym...
متن کاملComparisons of Hybrid Multi-Objective Programming Algorithms with Grey Target and PCA for Weapon System Portfolio Selection
Weapon Systems Portfolio Selection (WSPS) can be considered as a multi-objective decision analysis (MODA) problem. Aiming at its challenging features because of, 1) interactions and independencies among weapon systems, 2) the uncertainty of the sample data set for assessment, and 3) the missing target value of the assessment criteria, the WSPS problem is solved form four perspectives: portfolio...
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 Systems Engineering and Electronics
سال: 2020
ISSN: 1004-4132
DOI: 10.23919/jsee.2020.000094