Portfolio rebalancing model with transaction costs using interval optimization

DOI10.1007/S12597-015-0210-0zbMATH Open1366.91141OpenAlexW272304405WikidataQ57843407 ScholiaQ57843407MaRDI QIDQ2359239FDOQ2359239

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

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zbMATH Keywords

optimizationportfolio selectiontransaction costrebalancingclosed interval

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (13)

• Rebalancing with Linear and Quadratic Costs
• Expected value multiobjective portfolio rebalancing model with fuzzy parameters
• A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
• A new portfolio rebalancing model with transaction costs
• An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization
• Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
• Portfolio rebalancing model using multiple criteria
• Title not available (Why is that?)
• Multiobjective efficient portfolio selection with bounded parameters
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Sparse portfolio rebalancing model based on inverse optimization
• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
• Title not available (Why is that?)

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