Portfolio rebalancing model with transaction costs using interval optimization

DOI10.1007/S12597-015-0210-0MaRDI QIDQ2359239zbMATH OpenOpenAlexWikidataFDO

Authors Pankaj Kumar, Geetanjali Panda, U. C. Gupta

Publication date 27 June 2017

Published in Opsearch (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12597-015-0210-0

zbMATH Keywords

optimizationportfolio selectiontransaction costrebalancingclosed interval

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
• A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
• An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
• An algorithm for portfolio optimization with transaction costs
• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• Mean-absolute deviation portfolio optimization model under transaction costs
• Mean-variance-skewness model for portfolio selection with transaction costs
• Portfolio adjusting optimization under credibility measures
• Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Portfolio selection and transactions costs
• Portfolio selection problem with interval coefficients
• Selecting portfolios with fixed costs and minimum transaction lots
• The mean-absolute deviation portfolio selection problem with interval-valued returns

Cited in

(13)

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• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
• Rebalancing with Linear and Quadratic Costs
• Sparse portfolio rebalancing model based on inverse optimization
• An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization
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