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,...

ver descrição completa

Detalhes bibliográficos

Principais autores:	Pejman Peykani, Mojtaba Nouri, Mir Saman Pishvaee, Camelia Oprean-Stan, Emran Mohammadi
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2023-09-01
coleção:	Mathematics
Assuntos:	portfolio optimization fuzzy entropy rolling optimization credibility theory scenario tree multi-period portfolio model
Acesso em linha:	https://www.mdpi.com/2227-7390/11/18/3889
Tags:	Adicionar Tag Sem tags, seja o primeiro a adicionar uma tag!