Generalized mean semi-absolute deviation model of portfolio selection based on uncertainty theory

Sanjoy Chhatri (), Debasish Bhattacharya () and Birojit Das ()
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Sanjoy Chhatri: National Institute of Technology Agartala
Debasish Bhattacharya: National Institute of Technology Agartala
Birojit Das: Amity University Kolkata

Fuzzy Optimization and Decision Making, 2025, vol. 24, issue 3, No 3, 456 pages

Abstract: Abstract Portfolio selection problems, considering returns of the securities as uncertain variables, are an important area of contemporary research. In this line, linear and zigzag uncertainty distributions are popularly being used. These distributions contain two and three parameters, a, b and a, b, c, respectively. In this paper, two families of uncertainty distributions containing one arbitrary constant each have been introduced, and the properties are studied. Linear and zigzag uncertainty distributions then become a particular member of the respective family. This is achieved by introducing the arbitrary constants h and k, $$0 \le h

Keywords: Uncertainty theory; Multi-objective non linear programming; Portfolio optimization (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10700-025-09452-2

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