Title :
Portfolio selection under uncertainty using regret-analysis
Author :
Gisin, V.B. ; Khamidullina, L.F.
Author_Institution :
Financial Univ. under the Gov. of the Russian Federation, Moscow, Russia
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.
Keywords :
decision making; fuzzy set theory; investment; linear programming; minimax techniques; branch indices; decision maker; fuzzy linear programming; minimax regret criterion; optimal portfolio; portfolio selection; regret-analysis; uncertainty; Biological system modeling; Indexes; Linear programming; Mathematical model; Portfolios; Programming; Uncertainty; Fuzzy linear programming; branch index; fuzzy regret analysis; optimal portfolio;
Conference_Titel :
Soft Computing and Measurements (SCM), 2015 XVIII International Conference on
Conference_Location :
St. Petersburg
Print_ISBN :
978-1-4673-6960-2
DOI :
10.1109/SCM.2015.7190476
