A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
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Publication:1730443
DOI10.1007/s10479-016-2365-3zbMath1411.91492OpenAlexW2551171714MaRDI QIDQ1730443
Wei Chen, Yun Wang, Mukesh Kumar Mehlawat
Publication date: 6 March 2019
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-016-2365-3
possibility theorysimulated annealing algorithmtransaction costsfuzzy variablesfirefly algorithmportfolio rebalancing
Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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