A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts

DOI10.1080/02331934.2014.891032zbMATH Open1305.91224OpenAlexW2087815180MaRDI QIDQ2926480FDOQ2926480

Authors: Garima Mittal, Mukesh Kumar Mehlawat 

Publication date: 24 October 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2014.891032

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zbMATH Keywords

multiobjective optimizationportfolio selectiontransaction costsreal-coded genetic algorithm

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Cites Work

• Multi-objective optimization using evolutionary algorithms
• Portfolio rebalancing model using multiple criteria
• Asset allocation with distorted beliefs and transaction costs
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• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
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• An MCDM approach to portfolio optimization.
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• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• A fuzzy goal programming approach to portfolio selection
• Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
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• A portfolio optimization model with three objectives and discrete variables
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Asset portfolio optimization using support vector machines and real-coded genetic algorithm
• Dynamic portfolio selection with nonlinear transaction costs

Cited In (4)

• Expected value multiobjective portfolio rebalancing model with fuzzy parameters
• Portfolio rebalancing model using multiple criteria
• Portfolio rebalancing model with transaction costs using interval optimization
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory

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