Portfolio adjusting optimization under credibility measures

DOI10.1016/j.cam.2010.02.022zbMath1187.91204OpenAlexW2072106896MaRDI QIDQ972753

Wei-Guo Zhang, Xili Zhang, Ruichu Cai

Publication date: 21 May 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.02.022

zbMATH Keywords

possibility theorysequential quadratic programming methodtransaction costscredibility measureportfolio adjusting

Mathematics Subject Classification ID

Decision theory (91B06) Methods of successive quadratic programming type (90C55) Portfolio theory (91G10)

Related Items (13)

Portfolio rebalancing model with transaction costs using interval optimization ⋮ 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 ⋮ A risk index model for portfolio selection with returns subject to experts' estimations ⋮ Multiobjective expected value model for portfolio selection in fuzzy environment ⋮ Expected value multiobjective portfolio rebalancing model with fuzzy parameters ⋮ Portfolio adjusting optimization with added assets and transaction costs based on credibility measures ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ A new risk criterion in fuzzy environment and its application ⋮ A mean-variance portfolio selection model with interval-valued possibility measures ⋮ Sparse portfolio rebalancing model based on inverse optimization ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion

Uses Software

• NLPQL

Cites Work

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• A comparative performance evaluation of 27 nonlinear programming codes
• Fuzzy sets as a basis for a theory of possibility
• Portfolio selection under independent possibilistic information
• A possibilistic approach to selecting portfolios with highest utility score
• Theory and practice of uncertain programming
• An analytic derivation of admissible efficient frontier with borrowing
• An Efficient Solution Method for 0-1 Random Fuzzy Programming Problems Considering the Relaxation Problems
• Uncertainty theory

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