A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments

DOI10.1016/j.insmatheco.2010.01.007zbMath1231.91419OpenAlexW2087623191MaRDI QIDQ659258

Xi-Li Zhang, Wei-jun Xu, Wei-Guo Zhang

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.007

zbMATH Keywords

transaction costsportfolio adjustingpossibilistic momentSMO-type decomposition method

Mathematics Subject Classification ID

Portfolio theory (91G10)

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