Portfolio adjusting optimization with added assets and transaction costs based on credibility measures

DOI10.1016/j.insmatheco.2011.05.008zbMath1228.91064OpenAlexW2089041638MaRDI QIDQ654810

Xili Zhang, Yunxia Chen, Wei-Guo Zhang

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.008

zbMATH Keywords

transaction costscredibilistic mean and variancelending and borrowingportfolio adjusting

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (10)

Portfolio rebalancing model with transaction costs using interval optimization ⋮ Uncertain portfolio selection with mental accounts and realistic constraints ⋮ Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters ⋮ Fuzzy multi-period portfolio selection with different investment horizons ⋮ A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts ⋮ Uncertain portfolio adjusting model using semiabsolute deviation ⋮ Expected value multiobjective portfolio rebalancing model with fuzzy parameters ⋮ Credibilitic mean-variance model for multi-period portfolio selection problem with risk control ⋮ Multi-period cardinality constrained portfolio selection models with interval coefficients ⋮ Fuzzy portfolio optimization model under real constraints

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