Uncertain Portfolio Optimization
Buch in deiner Nähe kaufen
Beschreibung
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
Autor*in
Zhongfeng Qin
Themen in »Uncertain Portfolio Optimization«
Credibility Theory Portfolio Optimization Uncertainty Theory Fuzzy Random Variable Mean-Variance Model China Decision Theory Operation Research