Multi-period portfolio optimization based on credibilistic lower and upper VaR ratios.
Xiu JinHe LiYuting HouPublished in: J. Intell. Fuzzy Syst. (2023)
Keyphrases
- multi period
- portfolio optimization
- robust optimization
- risk measures
- lot sizing
- planning horizon
- production planning
- facility location problem
- routing problem
- portfolio selection
- multi item
- data envelopment analysis
- risk management
- stock market
- problems involving
- stock price
- total cost
- bi objective
- multistage
- factor analysis
- optimization methods
- mathematical programming
- decision making
- knapsack problem
- stock exchange
- multi objective
- objective function