DocumentCode
734438
Title
Portfolio selection under uncertainty using regret-analysis
Author
Gisin, V.B. ; Khamidullina, L.F.
Author_Institution
Financial Univ. under the Gov. of the Russian Federation, Moscow, Russia
fYear
2015
fDate
19-21 May 2015
Firstpage
259
Lastpage
260
Abstract
Fuzzy linear programming in portfolio selection is considered. Much attention is given to minimax regret criterion which allows minimizing the worst regret that may be undertaken by the decision maker. Regret-analysis is applied to get an optimal portfolio of branch indices.
Keywords
decision making; fuzzy set theory; investment; linear programming; minimax techniques; branch indices; decision maker; fuzzy linear programming; minimax regret criterion; optimal portfolio; portfolio selection; regret-analysis; uncertainty; Biological system modeling; Indexes; Linear programming; Mathematical model; Portfolios; Programming; Uncertainty; Fuzzy linear programming; branch index; fuzzy regret analysis; optimal portfolio;
fLanguage
English
Publisher
ieee
Conference_Titel
Soft Computing and Measurements (SCM), 2015 XVIII International Conference on
Conference_Location
St. Petersburg
Print_ISBN
978-1-4673-6960-2
Type
conf
DOI
10.1109/SCM.2015.7190476
Filename
7190476
Link To Document