Portfolio rebalancing model using multiple criteria
From MaRDI portal
Publication:621706
DOI10.1016/j.ejor.2010.09.018zbMath1208.91140OpenAlexW2009747617MaRDI QIDQ621706
Publication date: 28 January 2011
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.09.018
Related Items (24)
Bounds for portfolio weights in decentralized asset allocation ⋮ A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios ⋮ Diversified portfolios with different entropy measures ⋮ Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs ⋮ Portfolio insurance: gap risk under conditional multiples ⋮ Multiobjective efficient portfolio selection with bounded parameters ⋮ A linearized value-at-risk model with transaction costs and short selling ⋮ A two-phase algorithm for the multiparametric linear complementarity problem ⋮ A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts ⋮ Multicriteria decision systems for financial problems ⋮ Uncertain portfolio adjusting model using semiabsolute deviation ⋮ A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs ⋮ Asset allocation with correlation: a composite trade-off ⋮ Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market ⋮ Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments ⋮ Financial analysis based sectoral portfolio optimization under second order stochastic dominance ⋮ Fuzzy multi-period portfolio selection model with discounted transaction costs ⋮ Expected value multiobjective portfolio rebalancing model with fuzzy parameters ⋮ Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models ⋮ Sparse portfolio rebalancing model based on inverse optimization ⋮ Portfolio selection with a minimax measure in safety constraint ⋮ International portfolio choice and political instability risk: a multi-objective approach ⋮ Research on probability mean-lower semivariance-entropy portfolio model with background risk ⋮ Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Granger causality in risk and detection of extreme risk spillover between financial markets
- A dynamic programming approach to solve efficient frontier.
- Solving nonlinear portfolio optimization problems with the primal-dual interior point method
- Asset allocation with distorted beliefs and transaction costs
- An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
- Dynamic portfolio optimization with risk control for absolute deviation model
- Portfolio selection in stochastic markets with HARA utility functions
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- Fuzzy programming and linear programming with several objective functions
- Fuzzy multiple objective programming and compromise programming with Pareto optimum
- Multiple criteria decision making combined with finance: a categorized bibliographic study.
- The management of the future. Ethics in OR: Respect, multicriteria management, happiness.
- Robust multiperiod portfolio management in the presence of transaction costs
- Neural network-based mean-variance-skewness model for portfolio selection
- Using genetic algorithm to solve a new multi-period stochastic optimization model
- Portfolio performance evaluation in a mean--variance--skewness framework
- Portfolio rebalancing model with transaction costs based on fuzzy decision theory
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- Using investment portfolio return to combine forecasts: A multiobjective approach
This page was built for publication: Portfolio rebalancing model using multiple criteria