Title : ( Uncertain random portfolio selection based on risk curve )
Authors: Rouhollah Mehralizade , Mohammad Amini , Bahram Sadeghpour Gildeh , Hamed Ahmadzadeh ,
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Abstract
This paper discusses the uncertain random portfolio selection problem when there are some existing risky securities which have enough historical data and some newly listed ones with insufficient data in the portfolio. So far, in the field of uncertain random portfolio selection, variance, skewness, and value-at-risk have been proposed as the risk criterion. This paper gives a new risk criterion for uncertain random portfolio selection and proposes a new type of mean-risk model based on this criterion to optimization. And in the end, a numerical example is presented for the sake of illustration.
Keywords
, Uncertain random variable, Risk curve, Uncertain random portfolio selection, Mean-risk model, Optimization, Sensitivity analysis.
@article{paperid:1078621,
author = {Mehralizade, Rouhollah and Amini, Mohammad and Sadeghpour Gildeh, Bahram and حامد احمدزاده},
title = {Uncertain random portfolio selection based on risk curve},
journal = {Soft Computing},
year = {2020},
volume = {24},
number = {17},
month = {February},
issn = {1432-7643},
pages = {13331--13345},
numpages = {14},
keywords = {Uncertain random variable; Risk curve; Uncertain random
portfolio selection; Mean-risk model; Optimization; Sensitivity analysis.},
}
%0 Journal Article
%T Uncertain random portfolio selection based on risk curve
%A Mehralizade, Rouhollah
%A Amini, Mohammad
%A Sadeghpour Gildeh, Bahram
%A حامد احمدزاده
%J Soft Computing
%@ 1432-7643
%D 2020
