A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs

DOI10.1016/j.ejor.2012.04.023zbMath1253.91173OpenAlexW2081508255MaRDI QIDQ1926941

Wei-Guo Zhang, Yong-Jun Liu, Wei-jun Xu

Publication date: 29 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.023

zbMATH Keywords

financehybrid intelligent algorithmmulti-period portfolio selectionpossibilistic entropypossibilistic semivariance

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

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