This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.
This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.
Presents a comprehensive and up-to-date guide to uncertain portfolio optimization Can serve as a valuable reference source for academics, researchers and practitioners Provides an efficient approach to handling risk constraints in general optimization problems
Zhongfeng Qin
Credibility Theory Portfolio Optimization Uncertainty Theory Fuzzy Random Variable Mean-Variance Model China Decision Theory Operation Research