메뉴 건너뛰기




Volumn 1, Issue 4, 2002, Pages 361-377

On fuzzy portfolio selection problems

Author keywords

Fuzzy set; Interval number; Necessity; Portfolio selection; Possibility; Probability

Indexed keywords


EID: 25144503620     PISSN: 15684539     EISSN: 15732908     Source Type: Journal    
DOI: 10.1023/A:1020907229361     Document Type: Article
Times cited : (123)

References (37)
  • 1
    • 0346636333 scopus 로고
    • Decision Making in a Fuzzy Environment
    • Bellman, R. and L. A. Zadeh. (1970). "Decision Making in a Fuzzy Environment," Management Science 17, 141-164.
    • (1970) Management Science , vol.17 , pp. 141-164
    • Bellman, R.1    Zadeh, L.A.2
  • 6
    • 0001862777 scopus 로고    scopus 로고
    • Possibilistic Linear Programming: A Brief Review of Fuzzy Mathematical Programming and a Comparison with Stochastic Programming in Portfolio Selection Problem
    • Inuiguchi, M. and J. Ramik. (2000). "Possibilistic Linear Programming: A Brief Review of Fuzzy Mathematical Programming and a Comparison with Stochastic Programming in Portfolio Selection Problem," Fuzzy Sets and Systems 111, 3-28.
    • (2000) Fuzzy Sets and Systems , vol.111 , pp. 3-28
    • Inuiguchi, M.1    Ramik, J.2
  • 7
    • 0002117320 scopus 로고    scopus 로고
    • Portfolio Selection under Independent Possibilistic Information
    • Inuiguchi, M. and T. Tanino. (2000). "Portfolio Selection under Independent Possibilistic Information," Fuzzy Sets and Systems 115, 83-92.
    • (2000) Fuzzy Sets and Systems , vol.115 , pp. 83-92
    • Inuiguchi, M.1    Tanino, T.2
  • 8
    • 38249012102 scopus 로고
    • The Expected Value of a Fuzzy Number
    • Heilpern, S. (1992). "The Expected Value of a Fuzzy Number," Fuzzy Sets and Systems 47, 81-86.
    • (1992) Fuzzy Sets and Systems , vol.47 , pp. 81-86
    • Heilpern, S.1
  • 9
    • 0000941310 scopus 로고
    • A Stochastic Programming Model
    • Kataoka, S. (1963). "A Stochastic Programming Model," Econometrica 31, 181-196.
    • (1963) Econometrica , vol.31 , pp. 181-196
    • Kataoka, S.1
  • 10
    • 0000863801 scopus 로고
    • Mean Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market
    • Konno, K. and H. Yamazika. (1991). "Mean Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market," Management Science 37, 519-531.
    • (1991) Management Science , vol.37 , pp. 519-531
    • Konno, K.1    Yamazika, H.2
  • 12
    • 84894265795 scopus 로고    scopus 로고
    • A Class of Linear Interval Programming Problems and Its Application to Portfolio Selection
    • To appear in
    • Lai, K. K., S. Y. Wang, J. P. Xu, S. S. Zhu, and Y. Fang. (2001b). "A Class of Linear Interval Programming Problems and Its Application to Portfolio Selection," To appear in IEEE Transactions on Fuzzy Systems.
    • (2001) IEEE Transactions on Fuzzy Systems
    • Lai, K.K.1    Wang, S.Y.2    Xu, J.P.3    Zhu, S.S.4    Fang, Y.5
  • 13
    • 53849119626 scopus 로고    scopus 로고
    • Fuzzy Mathematical Programming for Portfolio Management
    • M. Boilla, T. Casasus, and R. Sala (eds.), Heidelberg: Physica-Verlag
    • León, T., V. Liern, and E. Vercher. (2000). "Fuzzy Mathematical Programming for Portfolio Management." In M. Boilla, T. Casasus, and R. Sala (eds.), Financial Modelling. Heidelberg: Physica-Verlag, 241-256.
    • (2000) Financial Modelling , pp. 241-256
    • León, T.1    Liern, V.2    Vercher, E.3
  • 14
    • 0037118178 scopus 로고    scopus 로고
    • Viability of infeasible portfolio selection problems: A fuzzy approach
    • DOI 10.1016/S0377-2217(01)00175-8, PII S0377221701001758
    • León, T., V. Liern, and E. Vercher. (2002). "Viability of Infeasible Portfolio Selection Problems: A Fuzzy Approach," European Journal of Operational Research 139, 178-189. (Pubitemid 34153945)
    • (2002) European Journal of Operational Research , vol.139 , Issue.1 , pp. 178-189
    • Leon, T.1    Liern, V.2    Vercher, E.3
  • 16
    • 0033115630 scopus 로고    scopus 로고
    • Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots
    • Mansini, R. and M. G. Speranza. (1999). "Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots," European Journal of Operational Research 114, 219-233.
    • (1999) European Journal of Operational Research , vol.114 , pp. 219-233
    • Mansini, R.1    Speranza, M.G.2
  • 17
    • 84995186518 scopus 로고
    • Portfolio Selection
    • Markowitz, H. (1952). "Portfolio Selection," Journal of Finance 7, 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.1
  • 18
    • 1242330206 scopus 로고    scopus 로고
    • A Fuzzy Control Model (FCM) for Dynamic Portfolio Management
    • Östermark, R. (1996). "A Fuzzy Control Model (FCM) for Dynamic Portfolio Management," Fuzzy Sets and Systems 78, 243-254.
    • (1996) Fuzzy Sets and Systems , vol.78 , pp. 243-254
    • Östermark, R.1
  • 23
    • 0001567393 scopus 로고
    • Safety-First and the Holding of Assets
    • Roy, A. D. (1952). "Safety-First and the Holding of Assets," Econometrics 20, 431-449.
    • (1952) Econometrics , vol.20 , pp. 431-449
    • Roy, A.D.1
  • 25
    • 84980092818 scopus 로고
    • Capital Asset Prices: ATheory of Market Equilibrium under Conditions of Risk
    • Sharpe, W. (1964). "Capital Asset Prices: ATheory of Market Equilibrium under Conditions of Risk," Journal of Finance 19, 425-442.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.1
  • 26
    • 0000706540 scopus 로고
    • Linear Programming Models for Portfolio Optimization
    • Speranza, M. G. (1993). "Linear Programming Models for Portfolio Optimization," Finance 14, 107-123.
    • (1993) Finance , vol.14 , pp. 107-123
    • Speranza, M.G.1
  • 27
    • 0033296299 scopus 로고    scopus 로고
    • Using SeDuMi 1.02, a MATLAB Toolbox for Optimization Over Symmetric Cones
    • Sturm, J. (1999). "Using SeDuMi 1.02, a MATLAB Toolbox for Optimization Over Symmetric Cones," Optimization Methods and Software 11, 625-653.
    • (1999) Optimization Methods and Software , vol.11 , pp. 625-653
    • Sturm, J.1
  • 28
    • 0033114964 scopus 로고    scopus 로고
    • Portfolio Selection Based on Upper and Lower Exponential Possibility Distributions
    • Tanaka, H. and P. Guo. (1999). "Portfolio Selection Based on Upper and Lower Exponential Possibility Distributions," European Journal of Operational Research 114, 115-126.
    • (1999) European Journal of Operational Research , vol.114 , pp. 115-126
    • Tanaka, H.1    Guo, P.2
  • 29
    • 0346685676 scopus 로고    scopus 로고
    • Portfolio Selection Based on Fuzzy Probabilities and Possibility Distributions
    • Tanaka, H., P. Guo, and I. B. Türksen. (2000). "Portfolio Selection Based on Fuzzy Probabilities and Possibility Distributions," Fuzzy Sets and Systems 111, 387-397.
    • (2000) Fuzzy Sets and Systems , vol.111 , pp. 387-397
    • Tanaka, H.1    Guo, P.2    Türksen, I.B.3
  • 30
    • 0006050336 scopus 로고    scopus 로고
    • Fuzzy inductive reasoning, expectation formation and the behavior of security prices
    • DOI 10.1016/S0165-1889(00)00029-4, PII S0165188900000294
    • Tay, N. S. P. and S. C. Linn. (2001). "Fuzzy Inductive Reasoning, Expectation Formation and the Behavior of Security Prices," Journal of Economic Dynamics & Control 25, 321-361. (Pubitemid 33623296)
    • (2001) Journal of Economic Dynamics and Control , vol.25 , Issue.3-4 , pp. 321-361
    • Tay, N.S.P.1    Linn, S.C.2
  • 31
    • 0030106462 scopus 로고    scopus 로고
    • Semidefinite Programming
    • Vandenberghe, L. and S. Boyd. (1996). "Semidefinite Programming," SIAM Review 38, 49-95.
    • (1996) SIAM Review , vol.38 , pp. 49-95
    • Vandenberghe, L.1    Boyd, S.2
  • 32
    • 15744367774 scopus 로고    scopus 로고
    • Fuzzy Portfolio Model for Decision Making in Investment
    • Y. Yoshida (ed.), Heidelberg: Physica-Verlag
    • Watada, J. (2001). "Fuzzy Portfolio Model for Decision Making in Investment." In Y. Yoshida (ed.), Dynamical Aspects in Fuzzy Decision Making. Heidelberg: Physica-Verlag, 141-162.
    • (2001) Dynamical Aspects in Fuzzy Decision Making , pp. 141-162
    • Watada, J.1
  • 34
    • 49349133217 scopus 로고
    • Fuzzy Sets as a Basis for a Theory of Possibility
    • Zadeh, L. A. (1978). "Fuzzy Sets as a Basis for a Theory of Possibility," Fuzzy Sets and Systems 1, 3-28.
    • (1978) Fuzzy Sets and Systems , vol.1 , pp. 3-28
    • Zadeh, L.A.1
  • 37
    • 0035546595 scopus 로고    scopus 로고
    • Application of the Fuzzy-Stochastic Methodology to Appraising the Firm Value as a European Call Option
    • Zmeskal, Z. (2001). "Application of the Fuzzy-Stochastic Methodology to Appraising the Firm Value as a European Call Option," European Journal of Operational Research 135, 303-310.
    • (2001) European Journal of Operational Research , vol.135 , pp. 303-310
    • Zmeskal, Z.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.