Random credibilitic portfolio selection problem with different convex transaction costs

DOI10.1007/s00500-019-03873-zzbMath1436.91106OpenAlexW2918397670MaRDI QIDQ780216

D. Kharzeev

Publication date: 15 July 2020

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-019-03873-z

zbMATH Keywords

convex transaction costsmean variance portfolio optimization modelpivoting algorithmrandom credibilitic variablesequence quadratic programming

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude

Cites Work

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