Mean-variance-skewness model for portfolio selection with transaction costs
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Publication:3044157
DOI10.1080/0020772031000158492zbMATH Open1074.91533OpenAlexW4246176696MaRDI QIDQ3044157FDOQ3044157
Authors:
Publication date: 10 August 2004
Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/0020772031000158492
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Cites Work
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- Portfolio Analysis in a Stable Paretian Market
- Multi-stage stochastic linear programs for portfolio optimization
- A mean-absolute deviation-skewness portfolio optimization model
- Large-Scale Portfolio Optimization
- Stochastic Network Programming for Financial Planning Problems
- Investment Strategies under Transaction Costs: The Finite Horizon Case
- A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
- A linear programming algorithm for optimal portfolio selection with transaction costs
Cited In (31)
- Uncertain random mean-variance-skewness models for the portfolio optimization problem
- Mean-variance lower-semi-variance portfolio model with transaction costs
- Fuzzy turnover rate chance constraints portfolio model
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Portfolio optimization in real financial markets with both uncertainty and randomness
- A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
- Diversified models for portfolio selection based on uncertain semivariance
- Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms
- Portfolio selection based on fuzzy cross-entropy
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Uncertain programming models for portfolio selection with uncertain returns
- Minimax mean-variance models for fuzzy portfolio selection
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- Fuzzy mean-variance-skewness portfolio selection models by interval analysis
- Mean-semivariance models for fuzzy portfolio selection
- An optimal portfolio selection model with transaction costs under the constraint of higher moments
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Portfolio rebalancing model with transaction costs using interval optimization
- Neural network-based mean-variance-skewness model for portfolio selection
- Wavelet evolutionary network for complex-constrained portfolio rebalancing
- The risk element transmission theory research of multi-objective risk-time-cost trade-off
- A class of multi-period semi-variance portfolio for petroleum exploration and development
- On product of positive \(L\)-\(R\) fuzzy numbers and its application to multi-period portfolio selection problems
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
- Optimal control of LQG problem with an explicit trade-off between mean and variance
- Combined forecasts in portfolio optimization: a generalized approach
- International portfolio choice and political instability risk: a multi-objective approach
- Uncertain random portfolio selection with high order moments
- Title not available (Why is that?)
- Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection
- Portfolio selection with a new definition of risk
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