scientific article; zbMATH DE number 7365939

DOI10.3969/J.ISSN.1005-3085.2020.06.003MaRDI QIDQ4998286zbMATH OpenFDO

Authors Xiaoqin Wang, Yuelin Gao

Publication date 1 July 2021

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2020.06.003

zbMATH Keywords

multi-stageparticle swarm optimizationtransaction costsvalue-at-risk

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cited in

(8)

• Multiperiod portfolio investment using stochastic programming with conditional value at risk
• A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
• Stochastic mean absolute deviation model with random transaction costs: securities from the Johannesburg stock market
• Mean-VaR portfolio selection based on a particle swarm optimization algorithm
• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• A linearized value-at-risk model with transaction costs and short selling
• Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
• A multi-objective portfolio model with improved transaction cost based on CVaR

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