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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| Main Authors: | , , , |
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| 格式: | Article |
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Institute of Electrical and Electronics Engineers Inc.
2018
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| 在線閱讀: | 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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