Multi-objective possibilistic model for portfolio selection with transaction cost

DOI10.1016/j.cam.2008.09.008zbMath1161.91395OpenAlexW2073436279MaRDI QIDQ1019786

J. Martínez

Publication date: 28 May 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.09.008

zbMATH Keywords

entropypossibility theorytransaction costmulti-objective problemportfolio rebalancing

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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Cites Work

• The mean value of a fuzzy number
• Fuzzy programming and linear programming with several objective functions
• Entropy optimization and mathematical programming
• A possibilistic approach to selecting portfolios with highest utility score
• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• Fuzzy sets
• Decision-Making in a Fuzzy Environment
• Unnamed Item
• Unnamed Item

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