Fuzzy multi-period portfolio selection optimization models using multiple criteria

Automatica

Volumn 48, Issue 12, 2012, Pages 3042-3053

  Liu, Yong Jun ^a   Zhang, Wei Guo ^a   Xu, Wei Jun ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Fuzzy multi period portfolio selection; Multiple criteria decision making; Risk management; TOPSIS compromised programming

Indexed keywords

CLOSED-LOOP CONTROL; DYNAMIC FEEDBACK; FINANCIAL MARKET; FUZZY ENVIRONMENTS; MULTI-PERIOD; MULTIPLE CRITERIA; MULTIPLE CRITERIA DECISION MAKING; NUMERICAL EXAMPLE; OPTIMAL SOLUTIONS; OPTIMIZATION MODELS; PORTFOLIO OPTIMIZATION MODELS; PORTFOLIO SELECTION; PORTFOLIO SELECTION PROBLEMS; POSSIBILISTIC; SINGLE OBJECTIVE; TRANSACTION COST;

FINANCIAL DATA PROCESSING; RISK MANAGEMENT;

MATHEMATICAL MODELS;

EID: 84869502685     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2012.08.036     Document Type: Article

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