How to cite this paper
Sadati, M., Doniavi, A & Samadi, A. (2014). Possibility theory for multiobjective fuzzy random portfolio optimization.Decision Science Letters , 3(3), 305-318.
Refrences
Arenas Parra, M., Bilbao Terol, A., & Rodr?guez Ur?a, M. V. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133(2), 287-297.
Black, F., & Litterman, R. B. (1991). Asset allocation: combining investor views with market equilibrium. The Journal of Fixed Income, 1(2), 7-18.
Chow, K. V., & Denning, K. C. (1994). On variance and lower partial moment betas the equivalence of systematic risk measures. Journal of Business Finance & Accounting, 21(2), 231-241.
Crama, Y., & Schyns, M. (2003). Simulated annealing for complex portfolio selection problems. European Journal of operational research, 150(3), 546-571.
Dastkhan, H., Golmakani, H. R., & Gharneh, N. S. (2013). How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach.International Journal of Industrial and Systems Engineering, 14(3), 333-351.
Gharakhani, M., & Sadjadi, S. (2013). A fuzzy compromise programming approach for the Black-Litterman portfolio selection model. Decision Science Letters, 2(1), 11-22.
Gil, M. ?., L?pez-D?az, M., & Ralescu, D. A. (2006). Overview on the development of fuzzy random variables. Fuzzy sets and systems, 157(19), 2546-2557.
Grootveld, H., & Hallerbach, W. (1999). Variance vs downside risk: Is there really that much difference?. European Journal of operational research, 114(2), 304-319.
Hao, F. F., & Liu, Y. K. (2008). Portfolio Selection Problem in Fuzzy Random Decision Systems. In Innovative Computing Information and Control, 2008. ICICIC & apos; 08. 3rd International Conference on (pp. 271-271). IEEE.
Hao, F. F., & Liu, Y. K. (2009). Mean-variance models for portfolio selection with fuzzy random returns. Journal of Applied Mathematics and Computing,30(1-2), 9-38.
Harlow, W. V., & Rao, R. K. (1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of Financial and Quantitative Analysis, 24(3), 285-311.
Katagiri, H., Sakawa, M., Kato, K., & Nishizaki, I. (2008). Interactive multiobjective fuzzy random linear programming: Maximization of possibility and probability. European Journal of Operational Research, 188(2), 530-539.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Management science, 37(5), 519-531.
Kwakernaak Kwakernaak, H. (1978). Fuzzy random variables—I. Definitions and theorems. Information Sciences, 15(1), 1-29.
Li, J., & Xu, J. (2009). A novel portfolio selection model in a hybrid uncertain environment. Omega, 37(2), 439-449.
Liu, B. (2009). Theory and practice of uncertain programming (Vol. 239). Springer.
Liu, Y. J., Zhang, W. G., & Xu, W. J. (2012). Fuzzy multi-period portfolio selection optimization models using multiple criteria. Automatica, 48(12), 3042-3053.
Markowitz, H. (1952). Portfolio selection*. The journal of finance, 7(1), 77-91.
Markowitz, H. (1959). Portfolio selection: efficient diversification of investments (No. 16). Yale university press.
Markowitz, H., Todd, P., Xu, G., & Yamane, Y. (1993). Computation of mean-semivariance efficient sets by the critical line algorithm. Annals of Operations Research, 45(1), 307-317.
Plat, R. (2009). Stochastic portfolio specific mortality and the quantification of mortality basis risk. Insurance: Mathematics and Economics, 45(1), 123-132.
Puri, M. L., & Ralescu, D. A. (1986). Fuzzy random variables. Journal of mathematical analysis and applications, 114(2), 409-422.
Sadati, M. E. H., & Nematian, J. (2013). Two-level linear programming for fuzzy random portfolio optimization through possibility and necessity-based model.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Sadjadi, S. J., Gharakhani, M., & Safari, E. (2012). Robust optimization framework for cardinality constrained portfolio problem. Applied Soft Computing,12(1), 91-99.
Shapiro, A. F. (2009). Fuzzy random variables. Insurance: Mathematics and Economics, 44(2), 307-314.
Sakawa, M. (1993). Fuzzy sets and interactive multiobjective optimization. New York: Plenum.
Woodside-Oriakhi, M., Lucas, C., & Beasley, J. E. (2013). Portfolio rebalancing with an investment horizon and transaction costs. Omega, 41(2), 406-420.
Xia, Y., Liu, B., Wang, S., & Lai, K. K. (2000). A model for portfolio selection with order of expected returns. Computers & Operations Research, 27(5), 409-422.
Yu, J. R., & Lee, W. Y. (2011). Portfolio rebalancing model using multiple criteria. European Journal of Operational Research, 2009(2), 166-175.
Zadeh, L. A. (1965). Fuzzy sets. Information and control, 8(3), 338-353.
Zhang, W. G., Liu, Y. J., & Xu, W. J. (2013). A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control. Fuzzy Sets and Systems.
Black, F., & Litterman, R. B. (1991). Asset allocation: combining investor views with market equilibrium. The Journal of Fixed Income, 1(2), 7-18.
Chow, K. V., & Denning, K. C. (1994). On variance and lower partial moment betas the equivalence of systematic risk measures. Journal of Business Finance & Accounting, 21(2), 231-241.
Crama, Y., & Schyns, M. (2003). Simulated annealing for complex portfolio selection problems. European Journal of operational research, 150(3), 546-571.
Dastkhan, H., Golmakani, H. R., & Gharneh, N. S. (2013). How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach.International Journal of Industrial and Systems Engineering, 14(3), 333-351.
Gharakhani, M., & Sadjadi, S. (2013). A fuzzy compromise programming approach for the Black-Litterman portfolio selection model. Decision Science Letters, 2(1), 11-22.
Gil, M. ?., L?pez-D?az, M., & Ralescu, D. A. (2006). Overview on the development of fuzzy random variables. Fuzzy sets and systems, 157(19), 2546-2557.
Grootveld, H., & Hallerbach, W. (1999). Variance vs downside risk: Is there really that much difference?. European Journal of operational research, 114(2), 304-319.
Hao, F. F., & Liu, Y. K. (2008). Portfolio Selection Problem in Fuzzy Random Decision Systems. In Innovative Computing Information and Control, 2008. ICICIC & apos; 08. 3rd International Conference on (pp. 271-271). IEEE.
Hao, F. F., & Liu, Y. K. (2009). Mean-variance models for portfolio selection with fuzzy random returns. Journal of Applied Mathematics and Computing,30(1-2), 9-38.
Harlow, W. V., & Rao, R. K. (1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of Financial and Quantitative Analysis, 24(3), 285-311.
Katagiri, H., Sakawa, M., Kato, K., & Nishizaki, I. (2008). Interactive multiobjective fuzzy random linear programming: Maximization of possibility and probability. European Journal of Operational Research, 188(2), 530-539.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Management science, 37(5), 519-531.
Kwakernaak Kwakernaak, H. (1978). Fuzzy random variables—I. Definitions and theorems. Information Sciences, 15(1), 1-29.
Li, J., & Xu, J. (2009). A novel portfolio selection model in a hybrid uncertain environment. Omega, 37(2), 439-449.
Liu, B. (2009). Theory and practice of uncertain programming (Vol. 239). Springer.
Liu, Y. J., Zhang, W. G., & Xu, W. J. (2012). Fuzzy multi-period portfolio selection optimization models using multiple criteria. Automatica, 48(12), 3042-3053.
Markowitz, H. (1952). Portfolio selection*. The journal of finance, 7(1), 77-91.
Markowitz, H. (1959). Portfolio selection: efficient diversification of investments (No. 16). Yale university press.
Markowitz, H., Todd, P., Xu, G., & Yamane, Y. (1993). Computation of mean-semivariance efficient sets by the critical line algorithm. Annals of Operations Research, 45(1), 307-317.
Plat, R. (2009). Stochastic portfolio specific mortality and the quantification of mortality basis risk. Insurance: Mathematics and Economics, 45(1), 123-132.
Puri, M. L., & Ralescu, D. A. (1986). Fuzzy random variables. Journal of mathematical analysis and applications, 114(2), 409-422.
Sadati, M. E. H., & Nematian, J. (2013). Two-level linear programming for fuzzy random portfolio optimization through possibility and necessity-based model.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Sadjadi, S. J., Gharakhani, M., & Safari, E. (2012). Robust optimization framework for cardinality constrained portfolio problem. Applied Soft Computing,12(1), 91-99.
Shapiro, A. F. (2009). Fuzzy random variables. Insurance: Mathematics and Economics, 44(2), 307-314.
Sakawa, M. (1993). Fuzzy sets and interactive multiobjective optimization. New York: Plenum.
Woodside-Oriakhi, M., Lucas, C., & Beasley, J. E. (2013). Portfolio rebalancing with an investment horizon and transaction costs. Omega, 41(2), 406-420.
Xia, Y., Liu, B., Wang, S., & Lai, K. K. (2000). A model for portfolio selection with order of expected returns. Computers & Operations Research, 27(5), 409-422.
Yu, J. R., & Lee, W. Y. (2011). Portfolio rebalancing model using multiple criteria. European Journal of Operational Research, 2009(2), 166-175.
Zadeh, L. A. (1965). Fuzzy sets. Information and control, 8(3), 338-353.
Zhang, W. G., Liu, Y. J., & Xu, W. J. (2013). A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control. Fuzzy Sets and Systems.