Random credibilitic portfolio selection problem with different convex transaction costs

DOI10.1007/S00500-019-03873-ZMaRDI QIDQ780216zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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• Two new models for portfolio selection with stochastic returns taking fuzzy information

Cited in

(4)

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

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