| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898060 | European Journal of Operational Research | 2013 | 7 Pages |
Abstract
⺠Developing a fuzzy portfolio mean-variance-skewness model for a practical portfolio selection. ⺠Incorporating portfolio liquidity in the proposed model. ⺠Presenting assets return by trapezoidal fuzzy numbers and their turnover rate by fuzzy credibility theory. ⺠Controlling the desired portfolio turnover rate by a fuzzy chance constraint. ⺠Utilizing the third central moment, skewness of portfolio return other than mean and variance.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Sasan Barak, Masoud Abessi, Mohammad Modarres,