{"title":"Portfolio selection under uncertainty using regret-analysis","authors":"V. Gisin, L. F. Khamidullina","doi":"10.1109/SCM.2015.7190476","DOIUrl":null,"url":null,"abstract":"Fuzzy linear programming in portfolio selection is considered. Much attention is given to minimax regret criterion which allows minimizing the worst regret that may be undertaken by the decision maker. Regret-analysis is applied to get an optimal portfolio of branch indices.","PeriodicalId":106868,"journal":{"name":"2015 XVIII International Conference on Soft Computing and Measurements (SCM)","volume":"16 5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2015 XVIII International Conference on Soft Computing and Measurements (SCM)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/SCM.2015.7190476","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
Fuzzy linear programming in portfolio selection is considered. Much attention is given to minimax regret criterion which allows minimizing the worst regret that may be undertaken by the decision maker. Regret-analysis is applied to get an optimal portfolio of branch indices.
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