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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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Principais autores: Pejman Peykani, Mojtaba Nouri, Mir Saman Pishvaee, Camelia Oprean-Stan, Emran Mohammadi
פורמט: Artigo
שפה:Inglês
יצא לאור: MDPI AG 2023-09-01
סדרה:Mathematics
נושאים:
portfolio optimization
fuzzy entropy
rolling optimization
credibility theory
scenario tree
multi-period portfolio model
גישה מקוונת:https://www.mdpi.com/2227-7390/11/18/3889
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