Portfolio adjusting optimization under credibility measures

DOI10.1016/J.CAM.2010.02.022MaRDI QIDQ972753zbMATH OpenOpenAlexFDO

Authors Xili Zhang, Wei-Guo 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

zbMATH Keywords

credibility measuretransaction costspossibility theorysequential quadratic programming methodportfolio adjusting

Mathematics Subject Classification ID

Methods of successive quadratic programming type (90C55) Decision theory (91B06) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 193123 (Why is no real title available?)
• scientific article; zbMATH DE number 193993 (Why is no real title available?)
• scientific article; zbMATH DE number 1243473 (Why is no real title available?)
• A comparative performance evaluation of 27 nonlinear programming codes
• A possibilistic approach to selecting portfolios with highest utility score
• An analytic derivation of admissible efficient frontier with borrowing
• An efficient solution method for 0-1 random fuzzy programming problems considering the relaxation problems
• An estimation model of value-at-risk portfolio under uncertainty
• Fuzzy sets as a basis for a theory of possibility
• Mean-semivariance models for fuzzy portfolio selection
• On admissible efficient portfolio selection problem
• Portfolio selection under independent possibilistic information
• Portfolio selection with fuzzy returns
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• Theory and practice of uncertain programming
• Uncertainty theory

Cited in

(18)

• 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
• Applying a credibilistic mean-variance model in constructing portfolio of mutual funds
• Global optimisation of a portfolio adjustment problem under credibility measures
• Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
• 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
• A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
• A risk index model for portfolio selection with returns subject to experts' estimations
• Evaluation of the adjusting mean semi-variance credibilistic portfolio performance
• Sparse portfolio rebalancing model based on inverse optimization
• 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

Describes a project that uses

Uses Software

• NLPQL

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