Constrained fuzzy hierarchical analysis for portfolio selection under higher moments

IEEE Transactions on Fuzzy Systems

Volumn 20, Issue 4, 2012, Pages 666-682

  Nguyen, Thi Thanh ^a   Gordon Brown, Lee ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Constrained fuzzy analytic hierarchy process (AHP); fuzzy numbers; higher moments; portfolio selection; risk management

Indexed keywords

CONVENTIONAL OPTIMIZATION; FAT TAILS; FUZZY AHP; FUZZY ANALYTIC HIERARCHY PROCESS; FUZZY ARITHMETICS; FUZZY NUMBERS; FUZZY RANKINGS; HIERARCHICAL ANALYSIS; HIGHER MOMENTS; OPTIMAL VALUES; PORTFOLIO DIVERSIFICATION; PORTFOLIO SELECTION; QUALITATIVE FACTORS; QUANTITATIVE MEASURES; STANDARD FUZZY ARITHMETICS; TRIANGULAR FUZZY NUMBERS;

ANALYTIC HIERARCHY PROCESS; FUZZY RULES; HIGHER ORDER STATISTICS; RISK MANAGEMENT;

HIERARCHICAL SYSTEMS;

EID: 84864693680     PISSN: 10636706     EISSN: None     Source Type: Journal    
DOI: 10.1109/TFUZZ.2011.2181520     Document Type: Article

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