Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
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Publication:894537
DOI10.1007/s10852-014-9268-6zbMath1326.91024MaRDI QIDQ894537
Publication date: 1 December 2015
Published in: Journal of Mathematical Modelling and Algorithms in Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10852-014-9268-6
transaction costs; cardinality constraints; forward dynamic programming method; mean semivariance; multi-period possibilistic portfolio selection
90C90: Applications of mathematical programming
90C70: Fuzzy and other nonstochastic uncertainty mathematical programming
91G10: Portfolio theory
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