A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
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Publication:2315847
DOI10.1016/j.cam.2018.10.039zbMath1422.91640OpenAlexW2947282701MaRDI QIDQ2315847
Akbar Esfahanipour, Hossein Babazadeh
Publication date: 26 July 2019
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.2018.10.039
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Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ A novel fuzzy mathematical model for an integrated supply chain planning using multi-objective evolutionary algorithm ⋮ Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers ⋮ An enhanced GRASP approach for the index tracking problem ⋮ A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
Uses Software
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