Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
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Publication:2397564
DOI10.3934/jimo.2016067zbMath1364.91147OpenAlexW2531820688MaRDI QIDQ2397564
Publication date: 22 May 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016067
multiperiod portfolio selectiondiscrete approximate iteration methodinterval numbersentropy constraintsmean semi-absolute deviation
Related Items (3)
Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ Random credibilitic portfolio selection problem with different convex transaction costs
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