Fuzzy portfolio optimization model based on worst-case VaR

2005 International Conference on Machine Learning and Cybernetics, ICMLC 2005

Volumn , Issue , 2005, Pages 3512-3516

  Liu, Yan Chun ^a,b   Wang, Tie ^a   Gao, Li Qun ^b   Ren, Ping ^b   Liu, Bao Zheng ^b  

^a LIAONING UNIVERSITY   (China)

^b NORTHEASTERN UNIVERSITY   (China)

Author keywords

Fuzzy system theory; Genetic algorithm; Portfolio optimization; Worst case VaR

Indexed keywords

COMPUTER PROGRAMMING; COST EFFECTIVENESS; DECISION MAKING; GENETIC ALGORITHMS; MATHEMATICAL MODELS; OPTIMIZATION; RISK ASSESSMENT;

FUZZY SYSTEM THEORY; PORTFOLIO OPTIMIZATION; WORST-CASE VAR;

FUZZY SETS;

EID: 28444495951     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (8)

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