Portfolio selection with second order uncertain dominance constraint

• Published in: Fuzzy optimization and decision making Vol. 23; no. 4; pp. 561 - 575
• Main Authors: Huang, Xiaoxia, Meng, Xue, Xu, Xiaozhu
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.12.2024; Springer Nature B.V
• Subjects: Artificial Intelligence; Calculus of Variations and Optimal Control; Optimization; Decision making; Equivalence; Expected returns; Expected utility; Expected values; Investments; Investors; Mathematical Logic and Foundations; Mathematics; Mathematics and Statistics; Operations Research/Decision Theory; Optimization; Portfolios; Probability Theory and Stochastic Processes; Risk aversion; Utility functions; Second order uncertain dominance; Portfolio selection; Uncertainty theory

This paper proposes an uncertain mean-second order dominance model in the framework of uncertainty theory. By giving mean-expected utility equivalent, we show that the proposed model is suitable for rational and risk-averse investors because the portfolio produced by the model can give the investors...