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- W25703814 abstract "In this paper, value-at-risk (VaR for short) is used as the measure of risk. Based on the concept of VaR, a fuzzy mean-VaR model is proposed. Firstly, we recall some definitions and results of value-at-risk in credibilistic risk analysis. Secondly, we propose the fuzzy mean- VaR model of fuzzy programming, or more precisely, credibilistic programming. Thirdly, a hybrid intelligent algorithm is provided to give a general solution of the optimization problem. Finally, numerical examples are also presented to illustrate the effectiveness of the proposed algorithm." @default.
- W25703814 created "2016-06-24" @default.
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- W25703814 date "2009-01-01" @default.
- W25703814 modified "2023-09-26" @default.
- W25703814 title "Mean-VaR Models and Algorithms for Fuzzy Portfolio Selection" @default.
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- W25703814 doi "https://doi.org/10.1007/978-3-642-04962-0_36" @default.
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