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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 67, 2018 - Issue 5
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Original Articles

Mean-risk-skewness models for portfolio optimization based on uncertain measure

Jia ZhaiSchool of Economics and Management, Beihang University, Beijing, ChinaCorrespondence[email protected]
,
Manying BaiSchool of Economics and Management, Beihang University, Beijing, China
&
Hongru WuSchool of Economics and Management, Panzhihua University, Sichuan, China
Pages 701-714 | Received 02 Sep 2016, Accepted 01 Jan 2018, Published online: 23 Jan 2018

Citations (14)

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Xiaoxia Huang & Xuting Wang. (2021) International portfolio optimization based on uncertainty theory. Optimization 70:2, pages 225-249.
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Articles from other publishers (13)

Fatemeh Talebi, Alireza Nazemi & Abdolmajid Abdolbaghi Ataabadi. (2023) An Uncertain Mean-AVaR Portfolio Selection via an Artificial Neural Network Scheme. International Journal of Information Technology & Decision Making 23:02, pages 783-823.
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Pawan Kumar Mandal & Manoj Thakur. (2024) Higher-order moments in portfolio selection problems: A comprehensive literature review. Expert Systems with Applications 238, pages 121625.
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Pawan Kumar Mandal, Manoj Thakur & Garima Mittal. (2024) Credibilistic portfolio optimization with higher-order moments using coherent triangular fuzzy numbers. Applied Soft Computing 151, pages 111155.
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Sanjoy Chhatri, Debasish Bhattacharya, Subharashmi Priyadarshini & Kanika Kanika. (2023) Portfolio adjusting model using uncertainty theory: an application to real finance market. Portfolio adjusting model using uncertainty theory: an application to real finance market.
Jian Zhou, Yujiao Jiang, Athanasios A. Pantelous & Weiwen Dai. (2022) A systematic review of uncertainty theory with the use of scientometrical method. Fuzzy Optimization and Decision Making 22:3, pages 463-518.
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Bo Li & Ziqiang Lu. (2023) Uncertain random enhanced index tracking for portfolio selection with parameter estimation and hypothesis test. Chaos, Solitons & Fractals 168, pages 113125.
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Bo Li & Yadong Shu. (2022) The skewness for uncertain random variable and application to portfolio selection problem. Journal of Industrial & Management Optimization 18:1, pages 457.
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Xue Deng & Cuirong Huang. (2021) Mean-entropy uncertain portfolio with risk curve and total mental accounts under multiple background risks. Journal of Intelligent & Fuzzy Systems 41:1, pages 539-561.
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Jagdish Kumar Pahade & Manoj Jha. (2021) Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection. Results in Applied Mathematics 11, pages 100159.
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Mukesh K. Mehlawat, Pankaj Gupta & Ahmad Z. Khan. (2020) Multiobjective portfolio optimization using coherent fuzzy numbers in a credibilistic environment. International Journal of Intelligent Systems 36:4, pages 1560-1594.
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Juzhi Zhang, Suresh P. Sethi, Tsan‐Ming Choi & T. C. E. Cheng. (2020) Supply Chains Involving a Mean‐Variance‐Skewness‐Kurtosis Newsvendor: Analysis and Coordination. Production and Operations Management 29:6, pages 1397-1430.
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Bilian Chen, Jingdong Zhong & Yuanyuan Chen. (2020) A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange. Expert Systems with Applications 145, pages 113104.
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Bo Li, Yufei Sun, Grace Aw & Kok Lay Teo. (2019) Uncertain portfolio optimization problem under a minimax risk measure. Applied Mathematical Modelling 76, pages 274-281.
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