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ArticlePortfolio rebalancing model with transaction costs based on fuzzy decision theory

Yong Fang2005

Article2005

Portfolio rebalancing model with transaction costs based on fuzzy decision theory

Yong Fang · Kin Keung Lai · Shouyang Wang

165 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Optimization and Mathematical Programming Fuzzy Systems and Optimization

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References

1965Fuzzy sets 1996Fuzzy sets 2007Decision Making in a Fuzzy Environment 1975the delphi method: techniques and applications 1952Portfolio Selection 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1976The Delphi method: Techniques and applications 1992Stochastic Network Programming for Financial Planning Problems

Cited by

2007Possibilistic mean–variance models and efficient frontiers for portfolio selection problem 2012Portfolio rebalancing with an investment horizon and transaction costs 2010Fuzzy mean–variance–skewness portfolio selection models by interval analysis 2014A multi-period fuzzy portfolio optimization model with minimum transaction lots 2012Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm 2010Portfolio rebalancing model using multiple criteria

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2010A hybrid approach to asset allocation with simultaneous consideration of suitability and optimalityarticle · 6 shared references 2007Genetic algorithms for portfolio selection problems with minimum transaction lotsarticle · 5 shared references 2007Asset portfolio optimization using fuzzy mathematical programmingarticle · 5 shared references 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literaturearticle · 5 shared references 2006Neural network-based mean–variance–skewness model for portfolio selectionarticle · 5 shared references 2014A multi-period fuzzy portfolio optimization model with minimum transaction lotsarticle · 5 shared references

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Year2005

Typearticle

Published2005-08-17

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations165

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2005.05.020

openalex_workW2012151131

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2011A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection

2014Uncertain portfolio adjusting model using semiabsolute deviation