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Portfolio rebalancing model with transaction costs based on fuzzy decision theory
12 references·16 citing·35 second hop
Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)Portfolio rebalancing model with transact…Decision Making in a Fuzzy Environment (2007)Decision Making in a Fuzzy En…Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model (1997)Estimation Risk in Portfolio …THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…Fuzzy sets (1996)Fuzzy setsOPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)OPTIMAL PORTFOLIO MANAGEMENT …Multi-stage stochastic linear programs for portfolio optimization (1993)Multi-stage stochastic linear…Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…The Delphi method: Techniques and applications (1976)The Delphi method: Techniques…the delphi method: techniques and applications (1975)the delphi method: techniques…Fuzzy sets (1965)Fuzzy setsPortfolio Selection (1952)Portfolio SelectionHarnessing a Hybrid CNN-LSTM Model for Portfolio Performance: A Case Study on Stock Selection and Optimization (2023)Harnessing a Hybrid CNN-LSTM …A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification (2021)A new mean-variance-entropy m…Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making (2016)Sustainability-Oriented Finan…Uncertain portfolio adjusting model using semiabsolute deviation (2014)Uncertain portfolio adjusting…A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)A multi-period fuzzy portfoli…Portfolio rebalancing with an investment horizon and transaction costs (2012)Portfolio rebalancing with an…Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints (2012)Multiobjective credibilistic …Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm (2012)Multi-objective portfolio sel…Fuzzy multi-period portfolio selection optimization models using multiple criteria (2012)Fuzzy multi-period portfolio …A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection (2012)A Possibilistic Mean-Downside…Asset portfolio optimization using support vector machines and real-coded genetic algorithm (2011)Asset portfolio optimization …A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection (2011)A multi-objective genetic alg…Portfolio rebalancing model using multiple criteria (2010)Portfolio rebalancing model u…Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Fuzzy mean–variance–skewness …Possibilistic mean–variance models and efficient frontiers for portfolio selection problem (2007)Possibilistic mean–variance m…A novel portfolio selection model in a hybrid uncertain environment (2007)A novel portfolio selection m…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. 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References

  • 1965Fuzzy sets67,827 cited
  • 1996Fuzzy sets46,880 cited
  • 2007Decision Making in a Fuzzy Environment5,320 cited
  • 1975the delphi method: techniques and applications5,224 cited
  • 1952Portfolio Selection4,609 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1976The Delphi method: Techniques and applications1,347 cited
  • 1992Stochastic Network Programming for Financial Planning Problems267 cited
  • 1993Multi-stage stochastic linear programs for portfolio optimization223 cited
  • 1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS219 cited
  • 1997Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model205 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS192 cited

Cited by

  • 2007Possibilistic mean–variance models and efficient frontiers for portfolio selection problem140 cited
  • 2012Portfolio rebalancing with an investment horizon and transaction costs118 cited
  • 2010Fuzzy mean–variance–skewness portfolio selection models by interval analysis

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116 cited
  • 2014A multi-period fuzzy portfolio optimization model with minimum transaction lots106 cited
  • 2012Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm105 cited
  • 2010Portfolio rebalancing model using multiple criteria103 cited
  • 2011A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection99 cited
  • 2014Uncertain portfolio adjusting model using semiabsolute deviation98 cited
  • 2007A novel portfolio selection model in a hybrid uncertain environment84 cited
  • 2012Fuzzy multi-period portfolio selection optimization models using multiple criteria81 cited
  • 2012Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints73 cited
  • 2012A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection70 cited
  • 2016Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making68 cited
  • 2023Harnessing a Hybrid CNN-LSTM Model for Portfolio Performance: A Case Study on Stock Selection and Optimization67 cited
  • 2011Asset portfolio optimization using support vector machines and real-coded genetic algorithm65 cited
  • 2021A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification63 cited