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

DOI10.1080/02331934.2014.891032MaRDI QIDQ2926480zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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