发帖
雷达卡
Authors: Zhongfeng Qin
Presents a comprehensive and up-to-date guide to uncertain portfolio optimization
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.
Table of contents (10 chapters)
Preliminaries
Credibilistic Mean-Variance-Skewness Model
Credibilistic Mean-Absolute Deviation Model
Credibilistic Cross-Entropy Minimization Model
Uncertain Mean-Semiabsolute Deviation Model
Uncertain Mean-LPMs Model
Interval Mean-Semiabsolute Deviation Model
Uncertain Random Mean-Variance Model
Fuzzy Random Mean-Variance Adjusting Model
Random Fuzzy Mean-Risk Model
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Uncertain Portfolio Optimization.pdf
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