2016 | Buch
Uncertain Portfolio Optimization
Buchreihe: Uncertainty and Operations Research
Autor: Zhongfeng Qin
Verlag: Springer Singapore
Print ISBN: 978-981-10-1809-1
Electronic ISBN: 978-981-10-1810-7
2016 | Buch
Buchreihe: Uncertainty and Operations Research
Autor: Zhongfeng Qin
Verlag: Springer Singapore
Print ISBN: 978-981-10-1809-1
Electronic ISBN: 978-981-10-1810-7
This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.
Version: 0.849.0