Asset allocation with distorted beliefs and transaction costs

DOI10.1016/J.EJOR.2007.12.002MaRDI QIDQ953450zbMATH OpenOpenAlexFDO

Authors Roman Kozhan, Wolfgang Schmid

Publication date 20 November 2008

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2007.12.002

zbMATH Keywords

asset allocationKnightian uncertaintytransaction costsdistortion function

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3195782 (Why is no real title available?)
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• Portfolio Selection with Transaction Costs
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Recent developments in modeling preferences: Uncertainty and ambiguity
• Risk, ambiguity and the Savage axioms
• Subjective Probability and Expected Utility without Additivity
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Cited in

(7)

• Portfolio optimization with transaction costs: a two-period mean-variance model
• A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
• Diversified portfolios with different entropy measures
• Ambiguity premium and transaction costs
• Multi-polar Choquet integral
• Portfolio rebalancing model using multiple criteria
• Expected value multiobjective portfolio rebalancing model with fuzzy parameters

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