Mean–variance models for portfolio selection subject to experts’ estimations

• Published in: Expert systems with applications Vol. 39; no. 5; pp. 5887 - 5893
• Main Author: Huang, Xiaoxia
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.04.2012
• Subjects: Mean–semivariance model; Mean–variance model; Portfolio selection; Uncertain programming; Uncertain variable; Mean–semivariance model; Portfolio selection; Uncertain variable; Uncertain programming; Mean–variance model

Since the security market is complex, sometimes the future security returns are available mainly based on experts judgements. This paper discusses a portfolio selection problem in which security returns are given subject to experts’ estimations. The use of uncertain measure is justified, and two new...