Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
DOI10.1007/S10852-014-9268-6zbMATH Open1326.91024OpenAlexW2013980269MaRDI QIDQ894537FDOQ894537
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
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transaction costscardinality constraintsforward dynamic programming methodmean semivariancemulti-period possibilistic portfolio selection
Applications of mathematical programming (90C90) Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)
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