Sensitivity-based fuzzy multi-objective portfolio model with Value-at-Risk
To quantitatively discuss the effects and uncertainties of yield changes in each stock for portfolio selection results and then to provide a more reliable portfolio solution for investors, sensitivity analysis is introduced to improve the multi-objective portfolio model with fuzzy VaR (SA-VaR-FMOPSM...
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| Main Authors: | , , |
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| Format: | Article |
| Published: |
John Wiley and Sons Inc.
2019
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85074183061&doi=10.1002%2ftee.22986&partnerID=40&md5=6ade6285d9b68876e950fc1a46fef4e6 http://eprints.utp.edu.my/24868/ |
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| Institution: | Universiti Teknologi Petronas |