Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm

DOI10.1007/s10614-010-9220-4zbMath1231.91420OpenAlexW1996379732MaRDI QIDQ711395

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

Publication date: 26 October 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9220-4

zbMATH Keywords

transaction costportfolio selectionmean-variance utility\(LR\)-type possibility distributioncomprehensive learning particle swarm optimizer (CLPSO)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (3)

A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ Random credibilitic portfolio selection problem with different convex transaction costs ⋮ Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs

Cites Work

• Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
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• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

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