메뉴 건너뛰기




Volumn 6, Issue 2, 2007, Pages 123-137

A class of possibilistic portfolio selection model with interval coefficients and its application

Author keywords

Genetic algorithm; Goal programming; Interval coefficients; Modality approach; Portfolio selection

Indexed keywords

GOAL PROGRAMMING; INTERVAL COEFFICIENTS; MODALITY APPROACH; PORTFOLIO SELECTION;

EID: 34250708388     PISSN: 15684539     EISSN: 15732908     Source Type: Journal    
DOI: 10.1007/s10700-007-9005-y     Document Type: Article
Times cited : (31)

References (31)
  • 5
    • 1642358232 scopus 로고    scopus 로고
    • Simulated annealing for complex portfolio selection problems
    • Crama, Y., & Schyns, M. (2003). Simulated annealing for complex portfolio selection problems. European Journal of Operational Research, 150, 546-571.
    • (2003) European Journal of Operational Research , vol.150 , pp. 546-571
    • Crama, Y.1    Schyns, M.2
  • 11
    • 0026171352 scopus 로고
    • Goal programming problems with interval coefficients and target intervals
    • Inuiguchi, M., & Kume, Y. (1991). Goal programming problems with interval coefficients and target intervals. European Journal of Operational Reseach, 52, 345-360.
    • (1991) European Journal of Operational Reseach , vol.52 , pp. 345-360
    • Inuiguchi, M.1    Kume, Y.2
  • 12
    • 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., & Ramík, J. (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    Ramík, J.2
  • 13
    • 0002117320 scopus 로고    scopus 로고
    • Portfolio selection under independent possibilistic information
    • Inuiguchi, M., & Tanino, T. (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
  • 14
    • 4444232979 scopus 로고    scopus 로고
    • Pareto ant colony optimization: A metaheuristic approach to multiobjective portfolio selection
    • Karl, D., Walter, I G, Richard, F. H., Christine, S., & Christian, S. (2004). Pareto ant colony optimization: A metaheuristic approach to multiobjective portfolio selection. Annals of Operations Research, 131, 79-99.
    • (2004) Annals of Operations Research , vol.131 , pp. 79-99
    • Karl, D.1    Walter, I.G.2    Richard, F.H.3    Christine, S.4    Christian, S.5
  • 15
    • 0036903050 scopus 로고    scopus 로고
    • A class of linear interval programming problems and its applications to portfolio selection
    • Lai, K. K., Wang, S. Y., Xu, J. P., & Fang, Y. (2002). A class of linear interval programming problems and its applications to portfolio selection. IEEE Transaction on Fuzzy Systems, 10, 698-704.
    • (2002) IEEE Transaction on Fuzzy Systems , vol.10 , pp. 698-704
    • Lai, K.K.1    Wang, S.Y.2    Xu, J.P.3    Fang, Y.4
  • 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
  • 21
    • 0001412587 scopus 로고
    • Large-scale portfolio optimization
    • Perold, A. F. (1984). Large-scale portfolio optimization. Management Science 31(10), 1143-1159.
    • (1984) Management Science , vol.31 , Issue.10 , pp. 1143-1159
    • Perold, A.F.1
  • 24
    • 0033114964 scopus 로고    scopus 로고
    • Portfolio selection based on upper and lower exponential possibility distributions
    • Tanaka, H., & Guo, P. (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
  • 25
    • 0346685676 scopus 로고    scopus 로고
    • Portfolio selection based on fuzzy probabilities and possibility distributions
    • Tanaka, H., Guo, P., & Turksen, I. B. (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    Turksen, I.B.3
  • 28
    • 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 (pp. 141-162). Heidelberg: Physica-Verlag.
    • (2001) Dynamical aspects in fuzzy decision making , pp. 141-162
    • Watada, J.1
  • 30
    • 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
  • 31
    • 5644265152 scopus 로고    scopus 로고
    • On admissible efficient portfolio selection problem
    • Zhang, W. G., & Nie, Z. K. (2004). On admissible efficient portfolio selection problem. Applied Mathematics and Computation, 159, 357-437.
    • (2004) Applied Mathematics and Computation , vol.159 , pp. 357-437
    • Zhang, W.G.1    Nie, Z.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.