A review of credibilistic portfolio selection View Full Text


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Article Info

DATE

2009-09

AUTHORS

Xiaoxia Huang

ABSTRACT

This paper reviews the credibilistic portfolio selection approaches which deal with fuzzy portfolio selection problem based on credibility measure. The reason for choosing credibility measure is given. Several mathematical definitions of risk of an investment in the portfolio are introduced. Some credibilistic portfolio selection models are presented, including mean-risk model, mean-variance model, mean-semivariance model, credibility maximization model, α-return maximization model, entropy optimization model and game models. A hybrid intelligent algorithm for solving the optimization models is documented. In addition, as extensions of credibilistic portfolio selection approaches, the paper also gives a brief review of some hybrid portfolio selection models. More... »

PAGES

263

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10700-009-9064-3

DOI

http://dx.doi.org/10.1007/s10700-009-9064-3

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1047823428


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