A review of uncertain portfolio selection

Issue title: Special Section: Best papers of the 2016 International Conference on Management and Operations Research - ICMOR 2016

Guest editors: Xiaoxia Huang, Qun Zhang and Qing Yang

Article type: Research Article

Authors: Huang, Xiaoxia^*

Affiliations: Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing, China

Correspondence: [*] Corresponding author. Xiaoxia Huang, Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China. Tel.: +86 10 82376260; Fax: +86 10 62333582; E-mail: hxiaoxia@manage.ustb.edu.cn.

Abstract: This paper reviews the theory of uncertain portfolio selection which uses human estimates as inputs and applies uncertainty theory to select portfolios. The difference of the uncertain portfolio selection theory from the stochastic portfolio theory is given and the necessity and conditions for using the theory are presented. Some basic works are introduced, including different types of mathematical risk measurements, their features, and some basic uncertain portfolio selection models and their theorems. Finally, future work for uncertain portfolio selection is discussed.

Keywords: Uncertain portfolio selection, risk measurement, uncertain measure, uncertain variable, uncertainty theory

DOI: 10.3233/JIFS-169211

Journal: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4453-4465, 2017