참고문헌
- Bodnar, T., Parolya, N., and Schmid, W. (2015), A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, To appear in Annals of Operations Research.
- Calafiore, G. C. (2008), Multi-period portfolio optimization with linear control policies, Automatica, 44(10) 2463-2473. https://doi.org/10.1016/j.automatica.2008.02.007
- Clikyurt, U. and Oekici, S. (2007), Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach, European Journal of Operational Research, 179(1), 186- 202. https://doi.org/10.1016/j.ejor.2005.02.079
- Fang, S. C. and Puthenpura, S. (1993), Linear optimization and extensions: theory and algorithms, Prentice-Hall Inc.
- Fang, Y., Lai, K. K., and Wang, S. Y. (2006), Portfolio rebalancing model with transaction costs based on fuzzy decision theory, European Journal of Opera-tional Research, 175(2), 879-893. https://doi.org/10.1016/j.ejor.2005.05.020
- Gupinar, N. and B. Rustem, (2007), Worst-case robust decisions for multi-period mean-variance portfolio optimization, European Journal of Operational Research, 183(3), 981-1000. https://doi.org/10.1016/j.ejor.2006.02.046
- Huang, X. (2008), Mean-semivariance models for fuzzy portfolio selection, Journal of Computational and Applied Mathematics, 217, 1-8. https://doi.org/10.1016/j.cam.2007.06.009
- Konno, H. and Yamazaki, H. (1991), Mean absolute portfolio optimisation model and its application to Tokyo stock market, Management Science, 37(5), 519-531. https://doi.org/10.1287/mnsc.37.5.519
- Koksalan, M. and Sakar, C. T. (2014), An interactive approach to stochastic programming-based portfolio optimization, To appear in Annals of Operations Research.
- Li, C. J. and Li, Z. F. (2012), Multi-period portfolio optimization for asset-liability management with bankrupt control, Applied Mathematics and Computation, 218, 11196-11208. https://doi.org/10.1016/j.amc.2012.05.010
- Li, D. and Ng, W. L. (2000), Optimal dynamic portfolio selection: multiperiod mean-variance formulation, Mathematical Finance, 10(3), 387-406. https://doi.org/10.1111/1467-9965.00100
- Li, X., Qin, Z., and Kar, S. (2010), Mean-variance-skewness model for portfolio selection with fuzzy returns, European Journal of operational Research, 202, 239-247. https://doi.org/10.1016/j.ejor.2009.05.003
- Li, X. and Qin, Z. (2014), Interval portfolio selection models within the framework of uncertainty theory, Economic Modelling, 41, 338-344. https://doi.org/10.1016/j.econmod.2014.05.036
- Liu, B. (2003), Inequalities and convergence concepts of fuzzy and rough variables, Fuzzy Optimization and Decision Making, 2(2), 87-100. https://doi.org/10.1023/A:1023491000011
- Liu, B. and Liu, Y. K. (2002), Expected value of fuzzy variable and fuzzy expected value models, IEEE Transactions on Fuzzy Systems, 10(4), 445-450. https://doi.org/10.1109/TFUZZ.2002.800692
- Liu, B. (2007), Uncertainty Theory, 2nd ed. Springer-Verlag, Berlin.
- Liu, B. (2009), Some research problems in uncertainty theory, Journal of Uncertain Systems, 3(1), 3-10.
- Liu, Y. and Qin, Z. (2012), Mean Semi-absolute deviation model for uncertain portfolio optimization problem, Journal of Uncertain Systems, 6(4), 299-307.
- Liu, Y. J., Zhang, W. G., and Xu, W. J. (2012), Fuzzy multi-period portfolio selection optimization models using multiple criteria, Automatica, 48, 3042-3053. https://doi.org/10.1016/j.automatica.2012.08.036
- Liu, Y. J., Zhang, W. G., and Zhang, P. (2013), A multiperiod portfolio selection optimization model by using interval analysis, Economic Modelling, 33, 113-119. https://doi.org/10.1016/j.econmod.2013.03.006
- Mansini, R., Ogryczak, W., Speranza, M. G. (2007), Conditional value at risk and related linear programming models for portfolio optimization, Annals of Operations Research, 152, 227-256. https://doi.org/10.1007/s10479-006-0142-4
- Markowitz, H. M. (1952), Portfolio selection, Journal of Finance, 7, 77-91.
- Markowitz, H. M. (1959), Portfolio selection: Efficient diversification of investments, New York: Wiley.
- Merton, R. C. and Samuelson, P. A. (1974), Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods, Journal of Financial Economics, 1, 67-94. https://doi.org/10.1016/0304-405X(74)90009-9
- Mossion, J. (1968), Optimal multiperiod portfolio policies, Journal of Business, 41, 215-229. https://doi.org/10.1086/295078
- Qin, Z., Kar, S., and Li, X. (2009), Developments of Mean-Variance Model for Portfolio Selection in Uncertain Environment, Technical Report.
- Qin, Z., Wen, M., and Gu, C. (2011), Mean-absolute deviation portfolio selection model with fuzzy returns, Iranian Journal of Fuzzy Systems, 8, 61-75.
- Samuelson, P. A. (1969), Lifetime portfolio selection by dynamic stochastic programming, Review of Economic Studies, 51, 239-246.
- Simaan, Y. (1997), Estimation risk in portfolio selection:The mean variance model and the mean-absolute deviation model, Management Science, 43, 1437-1446. https://doi.org/10.1287/mnsc.43.10.1437
- Speranza, M. G. (1993), Linear programming model for portfolio optimization, Finance, 14, 107-123.
- Terol, A. B., Gladish, B. P., Parra, M. A., and Uria, M. V. R. (2006), Fuzzy compromise programming for portfolio selection, Applied Mathematics and Computation, 173, 251-264 https://doi.org/10.1016/j.amc.2005.04.003
- van Binsbergen, J. H. and Brandt, M. (2007), Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?, Computational Economics, 29, 355-367. https://doi.org/10.1007/s10614-006-9073-z
- Vercher, E., Bermudez, J., and Segura, J. (2007), Fuzzy portfolio optimization under downside risk measures, Fuzzy Sets and Systems, 158, 769-782. https://doi.org/10.1016/j.fss.2006.10.026
- Wang, S. Y. and Zhu, S. S. (2002), On fuzzy portfolio selection problem, Fuzzy Optimization and Decision, Making, 1(4), 361-377 https://doi.org/10.1023/A:1020907229361
- Wu, H. L. and Li, Z. F. (2012), Multi-period meanvariance portfolio selection with regime switching and a stochastic cash flow, Insurance: Mathematics and Economics, 50, 371-384. https://doi.org/10.1016/j.insmatheco.2012.01.003
- Yan, W. and Li, S. R. (2009), A class of multi-period semi-variance portfolio selection with a four-factor futures price model, Journal of Applied Mathematics and Computing, 29, 19-34. https://doi.org/10.1007/s12190-008-0086-8
- Yan, W., Miao, R., and Li, S. R. (2007), Multi-period semi-variance portfolio selection: Model and numerical solution, Applied Mathematics and Computation, 194, 128-134. https://doi.org/10.1016/j.amc.2007.04.036
- Yu, M., Takahashi, S., Inoue, H., and Wang, S. Y. (2010), Dynamic portfolio optimization with risk control for absolute deviation model, European Journal of Operational Research, 201(2), 349-364. https://doi.org/10.1016/j.ejor.2009.03.009
- Yu, M. and Wang, S. Y. (2012), Dynamic optimal portfolio with maximum absolute deviation model, Journal of Global Optimization, 53, 363-380. https://doi.org/10.1007/s10898-012-9887-2
- Zadeh, L. (1978), Fuzzy sets as a basis for a theory of possibility, Fuzzy Sets and Systems, 1, 3-28. https://doi.org/10.1016/0165-0114(78)90029-5
- Zadeh, L. (1979), A theory of approximate reasoning, in: J. Hayes, D. Michie, R. M. Thrall (Eds.), Mathematical Frontiers of the Social and Policy Sciences, Westview Press, Boulder, Colorado, 69-129.
- Zhang, W. G., Liu, Y. J., and Xu, W. J. (2012), A possibilistic mean-semivariance-entropy model for multiperiod portfolio selection with transaction costs, European Journal of Operational Research, 222, 341-349. https://doi.org/10.1016/j.ejor.2012.04.023
- Zhang, W. G., Wang, Y. L., Chen, Z. P., and Nie, Z. K. (2007), Possibilistic mean-variance models and efficient frontiers for portfolio selection problem, Information Sciences, 177, 2787-2801. https://doi.org/10.1016/j.ins.2007.01.030
- Zhang, W. G., Zhang, X. L., and Xiao, W. L. (2009), Portfolio selection under possibilistic mean-variance utility and a SMO algorithm, European Journal of Operational Research, 197, 693-700. https://doi.org/10.1016/j.ejor.2008.07.011
- Zhang, W. G., Liu, Y. J., and Xu, W. J. (2014), A new fuzzy programming approach for multi-period portfolio Optimization with return demand and risk control, Fuzzy Sets and Systems, 246, 107-126. https://doi.org/10.1016/j.fss.2013.09.002
- Zhang, W. G. and Liu, Y. J. (2014), Credibilitic meanvariance model for multi-period portfolio selection problem with risk control, OR Spectrum, 36,113-132. https://doi.org/10.1007/s00291-013-0335-6
- Zhang, P. and Zhang, W. G. (2014), Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints, Fuzzy Sets and Systems, 255, 74-91. https://doi.org/10.1016/j.fss.2014.07.018
- Zhu, S. S., Li, D., and Wang, S. Y. (2004), Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation, IEEE Transactions on Automatic Control, 49(3), 447-457. https://doi.org/10.1109/TAC.2004.824474
피인용 문헌
- Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates vol.9, pp.23, 2016, https://doi.org/10.3390/math9233026