Uncertain Portfolio Optimization

✍ Scribed by Zhongfeng Qin (auth.)

• Publisher: Springer Singapore
• Year: 2016
• Tongue: English
• Leaves: 200
• Series: Uncertainty and Operations Research
• Edition: 1
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages i-xiii
Preliminaries....Pages 1-28
Credibilistic Mean-Variance-Skewness Model....Pages 29-52
Credibilistic Mean-Absolute Deviation Model....Pages 53-69
Credibilistic Cross-Entropy Minimization Model....Pages 71-82
Uncertain Mean-Semiabsolute Deviation Model....Pages 83-101
Uncertain Mean-LPMs Model....Pages 103-114
Interval Mean-Semiabsolute Deviation Model....Pages 115-129
Uncertain Random Mean-Variance Model....Pages 131-149
Fuzzy Random Mean-Variance Adjusting Model....Pages 151-165
Random Fuzzy Mean-Risk Model....Pages 167-184
Back Matter....Pages 185-192

✦ Subjects

Operation Research/Decision Theory;Operations Research, Management Science