An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions

DOI10.1016/j.physa.2015.12.048zbMath1400.91559OpenAlexW2219864922MaRDI QIDQ1619226

Amir Abbas Najafi, Zahra Pourahmadi

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.12.048

zbMATH Keywords

dynamic optimizationtransaction costportfolio selectioninvestment strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios ⋮ Credibilistic multi-period portfolio optimization based on scenario tree

Cites Work

• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• Portfolio optimization models on infinite-time horizon
• Strategic asset allocation
• Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
• Portfolio selection: a review
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS

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