Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree

This study considers a time-consistent multi-period rolling portfolio optimization issue in the context of a fuzzy situation. Rolling optimization with a risk aversion component attempts to separate the time periods and psychological effects of one’s investment in a mathematical model. Furthermore,...

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Главные авторы:	Pejman Peykani, Mojtaba Nouri, Mir Saman Pishvaee, Camelia Oprean-Stan, Emran Mohammadi
Формат:	Artigo
Язык:	Inglês
Опубликовано:	MDPI AG 2023-09-01
Серии:	Mathematics
Предметы:	portfolio optimization fuzzy entropy rolling optimization credibility theory scenario tree multi-period portfolio model
Online-ссылка:	https://www.mdpi.com/2227-7390/11/18/3889
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