Random credibilitic portfolio selection problem with different convex transaction costs
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Publication:780216
DOI10.1007/s00500-019-03873-zzbMath1436.91106MaRDI QIDQ780216
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
convex transaction costs; mean variance portfolio optimization model; pivoting algorithm; random credibilitic variable; sequence quadratic programming
91G10: Portfolio theory