Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
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Cites work
- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- A class of multi-period semi-variance portfolio selection with a four-factor futures price model
- A local relaxation method for the cardinality constrained portfolio optimization problem
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- A new method for mean-variance portfolio optimization with cardinality constraints
- A possibilistic approach to selecting portfolios with highest utility score
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- Algorithm for cardinality-constrained quadratic optimization
- An interval portfolio selection problem based on regret function
- Computational study of a family of mixed-integer quadratic programming problems
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Dynamic portfolio optimization with risk control for absolute deviation model
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Fuzzy portfolio optimization under downside risk measures
- Heuristic algorithms for the cardinality constrained efficient frontier
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Multi-period portfolio optimization with linear control policies
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- On admissible efficient portfolio selection: models and algorithms
- On possibilistic mean value and variance of fuzzy numbers
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Portfolio selection based on fuzzy probabilities and possibility distributions
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- Portfolio selection under independent possibilistic information
- Portfolio selection using neural networks
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Risk curve and fuzzy portfolio selection
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- The possibilistic moments of fuzzy numbers and their applications
- Viability of infeasible portfolio selection problems: A fuzzy approach
Cited in
(9)- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Fuzzy portfolio selection including cardinality constraints and integer conditions
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- Multi-period mean-variance optimization with cardinality constraints
- Multi-period cardinality constrained portfolio selection models with interval coefficients
- Multi-period possibilistic mean-entropy portfolio selection
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