Uncertain random portfolio optimization via semi-variance

Guangquan Cheng, Hamed Ahmadzade, Mehran Farahikia, Masoud Yarmohammadi

2022International Journal of Machine Learning and Cybernetics21 citationsDOI

Topics & Concepts

Variance (accounting)Variance-based sensitivity analysisPortfolioPortfolio optimizationRealized varianceVariance swapMathematicsEconometricsComputer scienceOne-way analysis of varianceStatisticsAnalysis of varianceEconomicsStochastic volatilityVolatility (finance)FinanceForward volatilityAccountingFuzzy Systems and OptimizationRisk and Portfolio OptimizationMulti-Criteria Decision Making