Portfolio adjusting optimization under credibility measures
DOI10.1016/J.CAM.2010.02.022zbMATH Open1187.91204OpenAlexW2072106896MaRDI QIDQ972753FDOQ972753
Wei-Guo Zhang, Xili Zhang, Ruichu Cai
Publication date: 21 May 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.02.022
credibility measuretransaction costspossibility theorysequential quadratic programming methodportfolio adjusting
Methods of successive quadratic programming type (90C55) Decision theory (91B06) Portfolio theory (91G10)
Cites Work
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Cited In (13)
- Multiobjective expected value model for portfolio selection in fuzzy environment
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- A new risk criterion in fuzzy environment and its application
- A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Portfolio rebalancing model with transaction costs using interval optimization
- Fuzzy multi-period portfolio selection with different investment horizons
- Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
- Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
- Sparse portfolio rebalancing model based on inverse optimization
- A risk index model for portfolio selection with returns subject to experts' estimations
- A mean-variance portfolio selection model with interval-valued possibility measures
- An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
Uses Software
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