{"title":"基于后悔分析的不确定性投资组合选择","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":"{\"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}","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}
Portfolio selection under uncertainty using regret-analysis
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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