Fuzzy portfolio optimization under downside risk measures

Fuzzy Sets and Systems

Volumn 158, Issue 7, 2007, Pages 769-782

  Vercher, Enriqueta ^a   Bermúdez, José D ^a   Segura, José Vicente ^b  

^a UNIVERSITY OF VALENCIA   (Spain)

^b MIGUEL HERNÁNDEZ UNIVERSITY   (Spain)

Author keywords

Downside risk functions; Fuzzy mathematical programming; Fuzzy numbers; Interval valued expectation; Possibilistic mean value

Indexed keywords

APPROXIMATION THEORY; LINEAR PROGRAMMING; NUMBER THEORY; OPTIMIZATION; PROBLEM SOLVING; RISK ASSESSMENT;

DOWNSIDE RISK FUNCTIONS; FUZZY MATHEMATICAL PROGRAMMING; FUZZY NUMBERS; INTERVAL-VALUED EXPECTATION; POSSIBILISTIC MEAN VALUE;

FUZZY SETS;

EID: 33846846352     PISSN: 01650114     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.fss.2006.10.026     Document Type: Article

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