Uncertain Portfolio Optimization

AvZhongfeng Qin

Häftad, Engelska, 2018

Del i serien Uncertainty and Operations Research

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2018-04-30
Mått:155 x 235 x 11 mm
Vikt:362 g
Format:Häftad
Språk:Engelska
Serie:Uncertainty and Operations Research
Antal sidor:192
Förlag:Springer Verlag, Singapore
ISBN:9789811094514

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Mer om författaren

Zhongfeng Qin received his BS degree from Nankai University, Tianjin, China and his PhD degree in Operations Research and Cybernetics from Tsinghua University, Beijing, China. He is currently an associate professor at the School of Economics and Management at Beihang University, Beijing, China. His current research interests include uncertain modeling and optimization, portfolio optimization and risk modeling. He was awarded “New Century Excellent Talents in University of the Ministry of Education” in 2012. Also, he was honored with the “7th Jiaqing Zhong Prize on Operations Research” and the “9th Outstanding New Scholar on Operations Research” award.

Innehållsförteckning

Preface.- 1 Preliminaries.- 2 Credibilistic Mean-Variance-Skewness Model.- 3 Credibilistic Mean-Absolute Deviation Model.- 4 Minimization Model.- 5 Uncertain Mean-Semiabsolude Deviation Model.- 6 Uncertain Mean-LPMs Model.- 7 Interval Mean-Semiabsolute Deviation Model.- 8 Uncertain Random Mean-Variance Model.- 9 Fuzzy Random Mean-Variance Adjusting Model.- 10 Random Fuzzy Mean-Risk Model.- Bibliography.- List of Frequently Used Symbols.