Random credibilitic portfolio selection problem with different convex transaction costs

DOI10.1007/S00500-019-03873-ZzbMATH Open1436.91106OpenAlexW2918397670MaRDI QIDQ780216FDOQ780216

Authors: D. Kharzeev 

Publication date: 15 July 2020

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-019-03873-z

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zbMATH Keywords

convex transaction costsmean variance portfolio optimization modelpivoting algorithmrandom credibilitic variablesequence quadratic programming

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Fuzzy sets as a basis for a theory of possibility
• Portfolio selection based on fuzzy cross-entropy
• Theory and practice of uncertain programming
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• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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• Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm
• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Cited In (3)

• A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude
• Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
• Portfolio adjusting optimization under credibility measures

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