Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment
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DOI: 10.1016/j.econmod.2012.11.032
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- Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
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Keywords
Fuzzy number; Value at risk; Possibilistic mean; Possibilistic variance; Portfolio;All these keywords.
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