A multi-period fuzzy portfolio optimization model with minimum transaction lots

DOI10.1016/j.ejor.2014.10.061zbMath1341.90151OpenAlexW1998174418MaRDI QIDQ2630242

Wei-Guo Zhang, Yong-Jun Liu

Publication date: 26 July 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.10.061

zbMATH Keywords

genetic algorithmfinancemulti-period portfolio selectionminimum transaction lotsmean-semivariance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80) Portfolio theory (91G10)

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