A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk.
Rashed Khanjani ShirazMadjid TavanaHirofumi FukuyamaPublished in: Soft Comput. (2020)
Keyphrases
- portfolio selection
- portfolio optimization
- portfolio management
- dea model
- optimal portfolio
- dea models
- fuzzy sets
- data envelopment analysis
- fuzzy logic
- financial markets
- risk management
- multiple objectives
- robust optimization
- transaction costs
- multi criteria
- investment decisions
- reinforcement learning
- expected utility
- fuzzy numbers
- input output
- multi objective