Portfolio adjusting optimization with added assets and transaction costs based on credibility measures

DOI10.1016/J.INSMATHECO.2011.05.008MaRDI QIDQ654810zbMATH OpenOpenAlexFDO

Authors Xili Zhang, Yunxia Chen, Wei-Guo Zhang

Publication date 21 December 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.05.008

zbMATH Keywords

transaction costscredibilistic mean and variancelending and borrowingportfolio adjusting

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
• A possibilistic approach to selecting portfolios with highest utility score
• An analytic derivation of admissible efficient frontier with borrowing
• An interval portfolio selection problem based on regret function
• Equivalence of some quadratic programming algorithms
• Fuzzy compromise programming for portfolio selection
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Portfolio adjusting optimization under credibility measures
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Portfolio optimization. With CD-ROM.
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Portfolio selection under independent possibilistic information
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Portfolio selection with fuzzy returns
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• The efficient frontier for bounded assets
• Viability of infeasible portfolio selection problems: A fuzzy approach

Cited in

(16)

• Expected value multiobjective portfolio rebalancing model with fuzzy parameters
• A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
• Uncertain portfolio selection with mental accounts and realistic constraints
• Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
• Global optimisation of a portfolio adjustment problem under credibility measures
• Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
• Portfolio rebalancing model with transaction costs using interval optimization
• Fuzzy multi-period portfolio selection with different investment horizons
• A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
• Portfolio adjusting optimization under credibility measures
• Evaluation of the adjusting mean semi-variance credibilistic portfolio performance
• Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
• Multi-period cardinality constrained portfolio selection models with interval coefficients
• Fuzzy portfolio optimization model under real constraints
• Additive portfolio improvement and utility-efficient payoffs
• Uncertain portfolio adjusting model using semiabsolute deviation

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