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A multi-objective portfolio selection model with fuzzy Value-at-Risk ratio

Considering nonstatistical uncertainties and/or insufficient historical data in security return forecasts, fuzzy set theory has been applied in the past decades to build portfolio selection models. Meanwhile, various risk measurements such as variance, entropy and Value-at-Risk have been proposed in...

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书目详细资料
Main Authors:	Wang, B., Li, Y., Wang, S., Watada, J.
格式:	Article
出版:	Institute of Electrical and Electronics Engineers Inc. 2018
在线阅读:	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85048015630&doi=10.1109%2fTFUZZ.2018.2842752&partnerID=40&md5=f82a6f04a5733f0319f1e8c37c1d6da1 http://eprints.utp.edu.my/20908/
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