A Comparative Study of Multi-Objective Multi-Period Portfolio Optimization Models in a Fuzzy Credibility Environment Using Different Risk Measures
The purpose of the present research is to compare portfolio optimization models in a fuzzy credibility environment, aimed for end-of-period wealth maximization and risk minimization. The investor’s risk was measured using the Value at Risk (VaR), Average Value at Risk (AVaR) and semi Entropy. In ord...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Alzahra University
2017-11-01
|
| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | http://jfm.alzahra.ac.ir/article_2975_fa5bbfaf7322703bbeb1c684a3e1a682.pdf |