Multi-objective possibilistic model for portfolio selection with transaction cost

From MaRDI portal
Publication:1019786


DOI10.1016/j.cam.2008.09.008zbMath1161.91395MaRDI 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


90C29: Multi-objective and goal programming

91G10: Portfolio theory


Related Items

MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION, Applications of entropy in finance: a review, Fuzzy portfolio selection including cardinality constraints and integer conditions, Multi-objective portfolio optimization considering the dependence structure of asset returns, A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection, An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models, Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization, Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration, Portfolio optimization with transaction costs: a two-period mean-variance model, Target setting in the general combined-oriented CCR model using an interactive MOLP method, A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios, Uncertain portfolio selection with mental accounts and realistic constraints, An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity, An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable, A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs, A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs, A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI), Entropy based robust portfolio, An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences, A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification, Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints, A decision model based on expected utility, entropy and variance, Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments, A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost, Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints, Credibilitic mean-variance model for multi-period portfolio selection problem with risk control



Cites Work