Uncertain Portfolio Optimization
Author | : Zhongfeng Qin |
Publisher | : Springer |
Total Pages | : 200 |
Release | : 2016-09-16 |
Genre | : Business & Economics |
ISBN | : 9811018103 |
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This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.