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A review of credibilistic portfolio selection. (English) Zbl 1187.91200
Summary: This paper reviews the credibilistic portfolio selection approaches which deal with fuzzy portfolio selection problem based on credibility measure. The reason for choosing credibility measure is given. Several mathematical definitions of risk of an investment in the portfolio are introduced. Some credibilistic portfolio selection models are presented, including mean-risk model, mean-variance model, mean-semivariance model, credibility maximization model, \(\alpha \)-return maximization model, entropy optimization model and game models. A hybrid intelligent algorithm for solving the optimization models is documented. In addition, as extensions of credibilistic portfolio selection approaches, the paper also gives a brief review of some hybrid portfolio selection models.

MSC:
91G10 Portfolio theory
90C70 Fuzzy and other nonstochastic uncertainty mathematical programming
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
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