A compromise solution to mutual funds portfolio selection with transaction costs

DOI10.1016/S0377-2217(00)00278-2zbMath1004.91030OpenAlexW2006015107MaRDI QIDQ5952507

Yusen Xia, Shou-Yang Wang, Xiaotie Deng

Publication date: 27 February 2002

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

Full work available at URL: https://doi.org/10.1016/s0377-2217(00)00278-2

zbMATH Keywords

transaction costsportfolio selectioncompromise solutionmean-variance analysis

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

On constructing expert Betas for single-index model ⋮ A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm ⋮ Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model ⋮ Compromise programming: a utility-based linear-quadratic composite metric from the trade-off between achievement and balanced (non-corner) solutions ⋮ Geometric compromise programming: application in portfolio selection

Cites Work

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• Goal programming for decision making: An overview of the current state-of-the-art
• A model for portfolio selection with order of expected returns.
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• A linear programming algorithm for optimal portfolio selection with transaction costs
• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• Portfolio Selection: A Compromise Programming Solution

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