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An integrated fuzzy-grey relational analysis approach to portfolio optimization
This paper combines two approaches (Fuzzy set theory and Grey Relational Analysis) for modelling an investor’s imprecise linguistic expectations and the uncertain returns of assets. We propose a novel maximization-type risk measure capable of incorporating the investor’s individual preferences. The...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9162119/ https://www.ncbi.nlm.nih.gov/pubmed/35668824 http://dx.doi.org/10.1007/s10489-022-03499-z |