Portfolio rebalancing model with transaction costs based on fuzzy decision theory
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Publication:2433448
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Cites work
- A fuzzy control model (FCM) for dynamic portfolio management
- A fuzzy goal programming approach to portfolio selection
- A linear programming algorithm for optimal portfolio selection with transaction costs
- A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
- Decision-Making in a Fuzzy Environment
- Default reasoning and possibility theory
- Fuzzy portfolio model for decision making in investment
- Fuzzy sets
- Fuzzy sets as a basis for a theory of possibility
- scientific article; zbMATH DE number 3541843 (Why is no real title available?)
- Multi-stage stochastic linear programs for portfolio optimization
- On possibilistic mean value and variance of fuzzy numbers
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Stochastic Network Programming for Financial Planning Problems
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- Viability of infeasible portfolio selection problems: A fuzzy approach
Cited in
(48)- Fuzzy views on Black-Litterman portfolio selection model
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Multiobjective efficient portfolio selection with bounded parameters
- An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
- Efficient projected gradient methods for cardinality constrained optimization
- Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Uncertain portfolio selection with background risk and liquidity constraint
- Multi-period portfolio selection with investor views based on scenario tree
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- Credibilistic multi-period portfolio optimization based on scenario tree
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
- Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models
- Portfolio rebalancing model with transaction costs using interval optimization
- Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
- Uncertain portfolio adjusting model using semiabsolute deviation
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- Some new results on value ranges of risks for mean-variance portfolio models
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- A mixed R{\&}D projects and securities portfolio selection model
- Asset portfolio optimization using fuzzy mathematical programming
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
- A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs
- Multiobjective expected value model for portfolio selection in fuzzy environment
- Fuzzy portfolio selection problem with different borrowing and lending rates
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- Asset portfolio optimization using support vector machines and real-coded genetic algorithm
- Multiperiod credibilitic mean semi-absolute deviation portfolio selection
- Multi-period cardinality constrained portfolio selection models with interval coefficients
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
- Possibilistic mean based defuzzification for fuzzy expert systems and fuzzy control -- LSD for general fuzzy sets
- Portfolio rebalancing model using multiple criteria
- Fuzzy mean-variance-skewness portfolio selection models by interval analysis
- Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
- Utilizing RNN based model and bi-objective programming to a new mean-conditional value at risk-entropy for uncertain portfolio optimization with liquidity and diversification
- A new risk criterion in fuzzy environment and its application
- Cross validation based transfer learning for cross-sectional non-linear shrinkage: a data-driven approach in portfolio optimization
- On the sensitivity of some portfolio optimization models using interval analysis
- Return as a vague element: fuzzy multi-objective portfolio making under sustainable investment strategy
- A probabilistic approach to portfolio selection with risk-aversion coefficients estimated via logistic regression
- Factor neutral portfolios
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
- Asset allocation with distorted beliefs and transaction costs
- A fuzzy interactive approach for optimal portfolio management
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