Fuzzy probability distribution with VaR constraint for portfolio selection.
Marcus P. da RochaLucelia Lima CostaHélida Salles SantosBenjamín R. C. BedregalPublished in: IFSA-EUSFLAT (2015)
Keyphrases
- portfolio selection
- probability distribution
- robust optimization
- risk measures
- multistage stochastic
- fuzzy sets
- portfolio optimization
- random variables
- portfolio management
- financial markets
- bayesian networks
- fuzzy numbers
- utility function
- mathematical programming
- optimal portfolio
- stochastic programming
- decision theory
- lot sizing
- data mining techniques