Subject Areas :
1 - Tarbiat Modares University
Keywords:
Abstract :
References:
- Abdelaziz, F.B., Lang, P., Nadeau, R. (1999). Efficiency in multiple criteria under uncertainty, Theory and Decision 47, 191–211.
- Abdelaziz, F.B., Mejri, S. (2001). Application of goal programming in a multi-objective reservoir operation model in Tunisia, European Journal of Operational Research 133, 352–361.
- Ammar, E. E. (2007). On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem, Information Sciences, Available Online 4 April.
- Aouni, B., Ben Abdelaziz, F., Martel, J. M. (2005). Decision-maker’s preferences modeling in the stochastic goal programming, European Journal of Operational Research 162, 610–618.
- Bawa, V.S., Lindenberg, E.B. (1977). Capital market equilibrium in a mean-lower partial moment framework, Journal of Financial Economics 5, 189–200.
- Campbell, J.Y., Lo, A.W., Mac Kinlay, A.C. (1997). The Econometrics of Finance Markets, Princeton University Press, Princeton, NJ.
- Carlsson, C., Fullér, R. (2001). On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122, 315–326.
- Chow. K., Denning. K. C., (1994). On variance and lower partial moment betas: the equivalence of systematic risk measures, Journal of Business Finance and Accounting 21, 231–241.
- Ehrgott, M., Klamroth, K., Schwehm, C. (2004). An MCDM approach to portfolio optimization, European Journal of Operational Research. 155, 752–770.
- Elton, E.J., Gruber, M.J. (1995). Modern Portfolio Theory and Investment Analysis, Wiley, New York.
- Glickman.T. S. (2008). Program portfolio selection for reducing prioritized securities, European Journal of Operational Research 190, 268–276.
- Gupta, P; Mehlawat, M. K; Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences 178, 1734-1755.
- Hasuike, T., Katagiri, H., Ishii, H. (2009). Portfolio selection problems with random fuzzy variable returns. Fuzzy Sets and Systems. ARTICLE IN PRESS.
- Holland, J. Adaptation in Natural and Artificial Systems, University of Michigan Press, Ann Arbor, 1975.
- Huang, X. (2006). Fuzzy chance-constrained portfolio selection, Applied Mathematics and Computation 177, 500–507.
- Huang, X. (2007, a). Two new models for portfolio selection with stochastic returns taking fuzzy information, European Journal of Operational Research 180, 396–405.
- Huang, X. (2007, b). A new perspective for optimal portfolio selection with random fuzzy returns, Journal of Information Sciences 177, 5404–5414.
- Inuiguchi, M., Ramik, J. (2000). Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem, Fuzzy Sets and Systems 111, 3–28.
- Jorion, P. (1992). Portfolio optimization in practice, Financial Analysis Journal January–February 68–74.
- Katagiri, H., Ishii, H., Sakawa, M. (2004). On fuzzy random linear knapsack problems, Central European Journal of Operations Research 12, 59–70.
- Korner, R. (1997). On the variance of fuzzy random variables. Fuzzy Sets and Systems, 92, 83−93.
- Kruse R, and Meyer KD, Statistics with Vague Data, D. Reidel Publishing Company, Dordrecht, 1987.
- Kumar, P.C., Philippatos, G. C., Ezzell, J.R. (1978). Goal programming and the selection o portfolios by dual-purpose funds, The Journal of Finance 33, 303–310.
- Kwakernaak, H. K. (1978). Fuzzy random variables-I, Information Sciences 15, 1–29
- Kwakernaak, H.K. (1979). Fuzzy random variables-II, Information Sciences 17, 153–178
- Lacagnina, V., Pecorella, A. (2006). A stochastic soft constraints fuzzy model for a portfolio selection problem, Fuzzy Sets and Systems 157, 1317 – 1327.
- Lai, Y.J., Hwang, Ch. L. (1992). Fuzzy mathematical programming. Methods and applications. Springer-Verlag. Berlin, pp 257-270.
- Lee, S.M., Chesser, D. L. (1980). Goal programming for portfolio selection, The Journal of Portfolio Management 22–26.
- Leon, R.T., Liern, V., Vercher, E. (2002). Validity of infeasible portfolio selection problems: fuzzy approach, European Journal of Operational Researches 139, 178–189.
- Lin, Ch., Hsieh, P. J, (2004). A fuzzy decision support system for strategic portfolio management, Decision Support Systems, 38, 383-398
- Lintner, B. J. (1965). Valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13–37.
- Liu, B. (2001). Fuzzy random chance-constrained programming, IEEE Transactions on Fuzzy Systems, Vol. 9, No. 5, 713-720.
- Liu, B. (2002). Theory and Practice of Uncertain Programming, Physica-Verlag, Heidelberg.
- Liu, Y.K, and Liu, B. (2003, a). A class of fuzzy random optimization: Expected value models, Information Sciences, Vol.155, Nos.1-2, 89-102.
- Liu, Y. K, and Liu, B. (2003, b). Fuzzy random variables: A scalar expected value opera-tor, Fuzzy Optimization and Decision Making, Vol.2, No.2, 143-160.
- Luenberger, D.G. (1997). Investment Science, Oxford University Press, Oxford.
- Maringer, D. (2005). Portfolio Management with Heuristic Optimization. Advances in Computational Management Science. Springer.
- Markowitz, H. (1952). Portfolio selection, Journal of Finance 7, 77–91.
- Mossin, J. (1966). Equilibrium in capital asset markets, Econometrica 34 (4), 768–783.
- Nather, W. (1997). Linear statistical inference for random fuzzy data. Statistics, 29, 221−240.
- Puri ML, and Ralescu D, Fuzzy random variables, Journal of Mathematical Analysis and Applications, Vol.114, 409-422, 1986.
- Sharpe, W.F. (1964). Capital asset prices: a theory of market equivalent under conditions of risk, Journal of Finance 19 (3), 425–442.
- Sheen, J.N. (2005). Fuzzy financial profitability analyses of demand side management alternatives from participant perspective, Information Sciences 169, 329–364.
- Smimou, K., Bector, C. R., & Jacoby, G. (2008). Portfolio selection subject to experts’ judgments International Review of Financial Analysis, 17, 1036–1054.
-
- Tanaka, H., Guo, P. (1999). Portfolio selection based on upper and lower exponential possibility distributions, European Journal of Operational Research 114, 115–126.
- Tanaka, H., Guo, P., Turksen, I.B. (2000). Portfolio selection based on fuzzy probabilities and possibility distributions, Fuzzy Sets and Systems 111, 387–397.
- Vercher, E., Bermúdez, J.D., Segura, J.V. (2007). Fuzzy portfolio optimization under downside risk measures, Fuzzy Sets and Systems 158, 769–782.
- Wang, X., Xu, W.J., Zhang, W.G., Hu, M.L. (2005). Weighted possibilistic variance of fuzzy number and its application in portfolio theory, Lecture Notes in Artificial Intelligance 3613 (2005) 148–155.
- Watada, J. (1997). Fuzzy portfolio selection and its applications to decision making, Tatra Mountains Mathematical Publications 13, 219–248.
- Yazenin, A.V. (2007). Possibilistic-probabilistic models and methods of portfolio optimization, in: Studies in Computational Intelligence, Vol. 36, Springer, Berlin, Heidelberg, Germany, pp. 241–259.
- Zadeh, L.A. (1978). Fuzzy sets as a basis for a theory of possibility, Fuzzy Sets and Systems 1, 3–28.
- Zhang, W.G., Wang, Y.L. (2005). Portfolio selection: possibilistic mean–variance model and possibilistic efficient frontier, Lecture Notes in Computer Science 3521, 203–213.
- Zhang, W. G., Wang, Y. L., Chen, Z. P., Nie, Z. K. (2007). Possibilistic mean–variance models and efficient frontiers for portfolio selection problem, Information Sciences 177, 2787–2801.
- Ziemba, W.T., Mulvey, J. M. (1998). Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge.
- Abdelaziz, F.B., Lang, P., Nadeau, R. (1999). Efficiency in multiple criteria under uncertainty, Theory and Decision 47, 191–211.
- Abdelaziz, F.B., Mejri, S. (2001). Application of goal programming in a multi-objective reservoir operation model in Tunisia, European Journal of Operational Research 133, 352–361.
- Ammar, E. E. (2007). On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem, Information Sciences, Available Online 4 April.
- Aouni, B., Ben Abdelaziz, F., Martel, J. M. (2005). Decision-maker’s preferences modeling in the stochastic goal programming, European Journal of Operational Research 162, 610–618.
- Bawa, V.S., Lindenberg, E.B. (1977). Capital market equilibrium in a mean-lower partial moment framework, Journal of Financial Economics 5, 189–200.
- Campbell, J.Y., Lo, A.W., Mac Kinlay, A.C. (1997). The Econometrics of Finance Markets, Princeton University Press, Princeton, NJ.
- Carlsson, C., Fullér, R. (2001). On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122, 315–326.
- Chow. K., Denning. K. C., (1994). On variance and lower partial moment betas: the equivalence of systematic risk measures, Journal of Business Finance and Accounting 21, 231–241.
- Ehrgott, M., Klamroth, K., Schwehm, C. (2004). An MCDM approach to portfolio optimization, European Journal of Operational Research. 155, 752–770.
- Elton, E.J., Gruber, M.J. (1995). Modern Portfolio Theory and Investment Analysis, Wiley, New York.
- Glickman.T. S. (2008). Program portfolio selection for reducing prioritized securities, European Journal of Operational Research 190, 268–276.
- Gupta, P; Mehlawat, M. K; Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences 178, 1734-1755.
- Hasuike, T., Katagiri, H., Ishii, H. (2009). Portfolio selection problems with random fuzzy variable returns. Fuzzy Sets and Systems. ARTICLE IN PRESS.
- Holland, J. Adaptation in Natural and Artificial Systems, University of Michigan Press, Ann Arbor, 1975.
- Huang, X. (2006). Fuzzy chance-constrained portfolio selection, Applied Mathematics and Computation 177, 500–507.
- Huang, X. (2007, a). Two new models for portfolio selection with stochastic returns taking fuzzy information, European Journal of Operational Research 180, 396–405.
- Huang, X. (2007, b). A new perspective for optimal portfolio selection with random fuzzy returns, Journal of Information Sciences 177, 5404–5414.
- Inuiguchi, M., Ramik, J. (2000). Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem, Fuzzy Sets and Systems 111, 3–28.
- Jorion, P. (1992). Portfolio optimization in practice, Financial Analysis Journal January–February 68–74.
- Katagiri, H., Ishii, H., Sakawa, M. (2004). On fuzzy random linear knapsack problems, Central European Journal of Operations Research 12, 59–70.
- Korner, R. (1997). On the variance of fuzzy random variables. Fuzzy Sets and Systems, 92, 83−93.
- Kruse R, and Meyer KD, Statistics with Vague Data, D. Reidel Publishing Company, Dordrecht, 1987.
- Kumar, P.C., Philippatos, G. C., Ezzell, J.R. (1978). Goal programming and the selection o portfolios by dual-purpose funds, The Journal of Finance 33, 303–310.
- Kwakernaak, H. K. (1978). Fuzzy random variables-I, Information Sciences 15, 1–29
- Kwakernaak, H.K. (1979). Fuzzy random variables-II, Information Sciences 17, 153–178
- Lacagnina, V., Pecorella, A. (2006). A stochastic soft constraints fuzzy model for a portfolio selection problem, Fuzzy Sets and Systems 157, 1317 – 1327.
- Lai, Y.J., Hwang, Ch. L. (1992). Fuzzy mathematical programming. Methods and applications. Springer-Verlag. Berlin, pp 257-270.
- Lee, S.M., Chesser, D. L. (1980). Goal programming for portfolio selection, The Journal of Portfolio Management 22–26.
- Leon, R.T., Liern, V., Vercher, E. (2002). Validity of infeasible portfolio selection problems: fuzzy approach, European Journal of Operational Researches 139, 178–189.
- Lin, Ch., Hsieh, P. J, (2004). A fuzzy decision support system for strategic portfolio management, Decision Support Systems, 38, 383-398
- Lintner, B. J. (1965). Valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13–37.
- Liu, B. (2001). Fuzzy random chance-constrained programming, IEEE Transactions on Fuzzy Systems, Vol. 9, No. 5, 713-720.
- Liu, B. (2002). Theory and Practice of Uncertain Programming, Physica-Verlag, Heidelberg.
- Liu, Y.K, and Liu, B. (2003, a). A class of fuzzy random optimization: Expected value models, Information Sciences, Vol.155, Nos.1-2, 89-102.
- Liu, Y. K, and Liu, B. (2003, b). Fuzzy random variables: A scalar expected value opera-tor, Fuzzy Optimization and Decision Making, Vol.2, No.2, 143-160.
- Luenberger, D.G. (1997). Investment Science, Oxford University Press, Oxford.
- Maringer, D. (2005). Portfolio Management with Heuristic Optimization. Advances in Computational Management Science. Springer.
- Markowitz, H. (1952). Portfolio selection, Journal of Finance 7, 77–91.
- Mossin, J. (1966). Equilibrium in capital asset markets, Econometrica 34 (4), 768–783.
- Nather, W. (1997). Linear statistical inference for random fuzzy data. Statistics, 29, 221−240.
- Puri ML, and Ralescu D, Fuzzy random variables, Journal of Mathematical Analysis and Applications, Vol.114, 409-422, 1986.
- Sharpe, W.F. (1964). Capital asset prices: a theory of market equivalent under conditions of risk, Journal of Finance 19 (3), 425–442.
- Sheen, J.N. (2005). Fuzzy financial profitability analyses of demand side management alternatives from participant perspective, Information Sciences 169, 329–364.
- Smimou, K., Bector, C. R., & Jacoby, G. (2008). Portfolio selection subject to experts’ judgments International Review of Financial Analysis, 17, 1036–1054.
-
- Tanaka, H., Guo, P. (1999). Portfolio selection based on upper and lower exponential possibility distributions, European Journal of Operational Research 114, 115–126.
- Tanaka, H., Guo, P., Turksen, I.B. (2000). Portfolio selection based on fuzzy probabilities and possibility distributions, Fuzzy Sets and Systems 111, 387–397.
- Vercher, E., Bermúdez, J.D., Segura, J.V. (2007). Fuzzy portfolio optimization under downside risk measures, Fuzzy Sets and Systems 158, 769–782.
- Wang, X., Xu, W.J., Zhang, W.G., Hu, M.L. (2005). Weighted possibilistic variance of fuzzy number and its application in portfolio theory, Lecture Notes in Artificial Intelligance 3613 (2005) 148–155.
- Watada, J. (1997). Fuzzy portfolio selection and its applications to decision making, Tatra Mountains Mathematical Publications 13, 219–248.
- Yazenin, A.V. (2007). Possibilistic-probabilistic models and methods of portfolio optimization, in: Studies in Computational Intelligence, Vol. 36, Springer, Berlin, Heidelberg, Germany, pp. 241–259.
- Zadeh, L.A. (1978). Fuzzy sets as a basis for a theory of possibility, Fuzzy Sets and Systems 1, 3–28.
- Zhang, W.G., Wang, Y.L. (2005). Portfolio selection: possibilistic mean–variance model and possibilistic efficient frontier, Lecture Notes in Computer Science 3521, 203–213.
- Zhang, W. G., Wang, Y. L., Chen, Z. P., Nie, Z. K. (2007). Possibilistic mean–variance models and efficient frontiers for portfolio selection problem, Information Sciences 177, 2787–2801.
- Ziemba, W.T., Mulvey, J. M. (1998). Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge.
