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Uncertain Portfolio Optimization

  • Book
  • © 2016

Overview

Authors:
  1. Zhongfeng Qin

    1. School of Economics and Management, Beihang University, Beijing, China

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  • Presents a comprehensive and up-to-date guide to uncertain portfolio optimization
  • Can serve as a valuable reference source for academics, researchers and practitioners
  • Provides an efficient approach to handling risk constraints in general optimization problems

Part of the book series: Uncertainty and Operations Research (UOR)

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Table of contents (10 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Preliminaries

    • Zhongfeng Qin
    Pages 1-28

  3. Credibilistic Mean-Variance-Skewness Model

    • Zhongfeng Qin
    Pages 29-52

  4. Credibilistic Mean-Absolute Deviation Model

    • Zhongfeng Qin
    Pages 53-69

  5. Credibilistic Cross-Entropy Minimization Model

    • Zhongfeng Qin
    Pages 71-82

  6. Uncertain Mean-Semiabsolute Deviation Model

    • Zhongfeng Qin
    Pages 83-101

  7. Uncertain Mean-LPMs Model

    • Zhongfeng Qin
    Pages 103-114

  8. Interval Mean-Semiabsolute Deviation Model

    • Zhongfeng Qin
    Pages 115-129

  9. Uncertain Random Mean-Variance Model

    • Zhongfeng Qin
    Pages 131-149

  10. Fuzzy Random Mean-Variance Adjusting Model

    • Zhongfeng Qin
    Pages 151-165

  11. Random Fuzzy Mean-Risk Model

    • Zhongfeng Qin
    Pages 167-184

  12. Back Matter

    Pages 185-192
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Keywords

About this book

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.

Authors and Affiliations

  • School of Economics and Management, Beihang University, Beijing, China

    Zhongfeng Qin

About the author

Zhongfeng Qin received his BS degree from Nankai University, Tianjin, China and his PhD degree in Operations Research and Cybernetics from Tsinghua University, Beijing, China. He is currently an associate professor at the School of Economics and Management at Beihang University, Beijing, China. His current research interests include uncertain modeling and optimization, portfolio optimization and risk modeling. He was awarded “New Century Excellent Talents in University of the Ministry of Education” in 2012. Also, he was honored with the “7th Jiaqing Zhong Prize on Operations Research” and the “9th Outstanding New Scholar on Operations Research” award.


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