Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm

DOI10.1007/s10852-014-9268-6zbMath1326.91024MaRDI QIDQ894537

Peng Zhang

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

zbMATH Keywords

transaction costs; cardinality constraints; forward dynamic programming method; mean semivariance; multi-period possibilistic portfolio selection

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G10: Portfolio theory

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