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Volumn , Issue 1, 2009, Pages 378-381

Credibilistic risk optimization models and algorithms

Author keywords

[No Author keywords available]

Indexed keywords

FUZZY PROGRAMMING; HYBRID INTELLIGENT ALGORITHMS; NUMERICAL EXAMPLE; RISK OPTIMIZATION; VALUE AT RISK;

EID: 70350554133     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CINC.2009.81     Document Type: Conference Paper
Times cited : (7)

References (15)
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    • Alexander GJ , Baptista AM, Economic implications of using a mean-VaR model for portfolio selection : A comparison with mean-variance analysis Journal of Economic Dynamic & Control, Vol. 26, 1159-1193, 2002.
    • (2002) Journal of Economic Dynamic & Control , vol.26 , pp. 1159-1193
    • Alexander, G.J.1    Baptista, A.M.2
  • 3
  • 4
    • 70350557863 scopus 로고    scopus 로고
    • VaR risk measures vs traditional risk measures: An analysis and survey
    • Kaplanski G, Kroll Y, VaR risk measures vs traditional risk measures: An analysis and survey, Journal of Derivatives, Vol. 4, 7-49, 1997.
    • (1997) Journal of Derivatives , vol.4 , pp. 7-49
    • Kaplanski, G.1    Kroll, Y.2
  • 6
    • 33847212595 scopus 로고    scopus 로고
    • 2nd ed, Springer-Verlag, Berlin
    • Liu B, Uncertainty Theory, 2nd ed., Springer-Verlag, Berlin, 2007.
    • (2007) Uncertainty Theory
    • Liu, B.1
  • 8
    • 0036685786 scopus 로고    scopus 로고
    • Expected value of fuzzy variable and fuzzy expected value models
    • Liu B, and Liu YK, Expected value of fuzzy variable and fuzzy expected value models, IEEE Transactions on Fuzzy Systems, Vol. 10, No. 4, 445-450, 2002.
    • (2002) IEEE Transactions on Fuzzy Systems , vol.10 , Issue.4 , pp. 445-450
    • Liu, B.1    Liu, Y.K.2
  • 9
    • 0032290201 scopus 로고    scopus 로고
    • Minimax chance constrained programming models for fuzzy decision systems
    • Liu B, Minimax chance constrained programming models for fuzzy decision systems, Information Sciences, Vol.112, Nos.1-4, 25-38, 1998.
    • (1998) Information Sciences , vol.112 , Issue.1-4 , pp. 25-38
    • Liu, B.1
  • 11
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markovitz H, Portfolio selection. Journal of Finance, Vol. 7, No.1, 77-91, 1952.
    • (1952) Journal of Finance , vol.7 , Issue.1 , pp. 77-91
    • Markovitz, H.1
  • 12
    • 0004180147 scopus 로고    scopus 로고
    • Fourth Edition, Morgan Guaranty Trust Companies, Inc. New York
    • Morgan J P, RiskMetricsTM-Technical Document,Fourth Edition, Morgan Guaranty Trust Companies, Inc. New York, 1996.
    • (1996) RiskMetricsTM-Technical Document
    • Morgan, J.P.1
  • 15
    • 49349133217 scopus 로고
    • Fuzzy sets as a basis for a theory of possibility
    • Zadeh L A, Fuzzy sets as a basis for a theory of possibility, Fuzzy Sets and Systems, Vol. 1, 3-28, 1978.
    • (1978) Fuzzy Sets and Systems , vol.1 , pp. 3-28
    • Zadeh, L.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.