Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
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Publication:299658
DOI10.1016/J.AMC.2015.01.050zbMATH Open1338.91133OpenAlexW2027629256MaRDI QIDQ299658FDOQ299658
Authors: Amir Abbas Najafi, Siamak Mushakhian 
Publication date: 22 June 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2015.01.050
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Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90) Portfolio theory (91G10)
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Cited In (20)
- Uncertain portfolio selection with background risk and liquidity constraint
- Multi-stage stochastic model in portfolio selection problem
- Mean-risk-skewness models for portfolio optimization based on uncertain measure
- Uncertain random portfolio selection based on risk curve
- An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
- Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
- Title not available (Why is that?)
- Stochastic portfolio selection problem with reliability criteria
- Credibilistic multi-period portfolio optimization based on scenario tree
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Title not available (Why is that?)
- Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Using genetic algorithm to solve a new multi-period stochastic optimization model
- Mean-risk model for uncertain portfolio selection with background risk
- International portfolio optimization based on uncertainty theory
- Title not available (Why is that?)
- Optimal procurement of flexibility services within electricity distribution networks
- Uncertain portfolio selection with background risk
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