Fuzzy turnover rate chance constraints portfolio model

DOI10.1016/j.ejor.2013.01.036zbMath1332.91114OpenAlexW2030275441MaRDI QIDQ257247

Masoud Abessi, Sasan Barak, Mohammad Modarres

Publication date: 15 March 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.01.036

zbMATH Keywords

genetic algorithmfinanceportfolio selectioncredibility measuremean-variance-skewness model

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (9)

A multi-period fuzzy portfolio optimization model with minimum transaction lots ⋮ An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity ⋮ Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ Review of fuzzy investment research considering modelling environment and element fusion ⋮ Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments ⋮ A possibilistic portfolio model with fuzzy liquidity constraint ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures ⋮ Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs

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• Mean-variance-skewness model for portfolio selection with transaction costs
• A SUFFICIENT AND NECESSARY CONDITION FOR CREDIBILITY MEASURES

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