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14-02-2020 | Methodologies and Application

Uncertain random portfolio selection based on risk curve

Authors: Rouhollah Mehralizade, Mohammad Amini, Bahram Sadeghpour Gildeh, Hamed Ahmadzade

Published in: Soft Computing | Issue 17/2020

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Abstract

This paper discusses the uncertain random portfolio selection problem when there are some existing risky securities which have enough historical data and some newly listed ones with insufficient data in the portfolio. So far, in the field of uncertain random portfolio selection, variance, skewness, and value-at-risk have been proposed as the risk criterion. This paper gives a new risk criterion for uncertain random portfolio selection and proposes a new type of mean-risk model based on this criterion to optimization. And in the end, a numerical example is presented for the sake of illustration.

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Title: Uncertain random portfolio selection based on risk curve
Authors: Rouhollah Mehralizade
Mohammad Amini
Bahram Sadeghpour Gildeh
Hamed Ahmadzade
Publication date: 14-02-2020
Publisher: Springer Berlin Heidelberg
Published in: Soft Computing / Issue 17/2020
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-020-04751-9

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