The liberalization and deregulation of the energy industry in the past decades have been significantly affected by changes in the strategies of energy firms. The traditionally used approach of cost minimization was no longer sufficient, risk and market behavior could no longer be ignored and the...

Due to few historical data that can be obtained in an emerging securities market, the future returns, risk and liquidity of securities cannot be forecasted precisely. The investment environment is usually fuzzy and uncertain. To handle these imprecise data, this paper discusses a fuzzy...

This paper deals with a multi-period portfolio selection problem with fuzzy returns. A possibilistic mean-semivariance-entropy model for multi-period portfolio selection is presented by taking into account four criteria viz., return, risk, transaction cost and diversification degree of...

A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period. However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to...

In this paper, we consider a multi-period fuzzy portfolio optimization problem with minimum transaction lots. Based on possibility theory, we formulate a mean-semivariance portfolio selection model with the objectives of maximizing the terminal wealth and minimizing the cumulative risk over the...