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Possibilistic Approaches to Portfolio Selection Problem with General Transaction Costs and a CLPSO Algorithm

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  • Xi-li Zhang
  • Wei-Guo Zhang

    ()

  • Wei-jun Xu
  • Wei-Lin Xiao
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10614-010-9220-4
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 36 (2010)
    Issue (Month): 3 (October)
    Pages: 191-200

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    Handle: RePEc:kap:compec:v:36:y:2010:i:3:p:191-200

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: Portfolio selection; Transaction cost; LR-type possibility distribution; Mean-variance utility; Comprehensive learning particle swarm optimizer (CLPSO);

    References

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    1. Andrew J. Morton & Stanley R. Pliska, 1995. "Optimal Portfolio Management With Fixed Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 337-356.
    2. Pardalos, Panos M & Sandstrom, Mattias & Zopounidis, Costas, 1994. "On the Use of Optimization Models for Portfolio Selection: A Review and Some Computational Results," Computational Economics, Society for Computational Economics, vol. 7(4), pages 227-44.
    3. Xiaolou Yang, 2006. "Improving Portfolio Efficiency: A Genetic Algorithm Approach," Computational Economics, Society for Computational Economics, vol. 28(1), pages 1-14, August.
    4. Zhang, Wei-Guo & Wang, Ying-Luo, 2008. "An analytic derivation of admissible efficient frontier with borrowing," European Journal of Operational Research, Elsevier, vol. 184(1), pages 229-243, January.
    5. Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
    6. Schaerf, Andrea, 2002. "Local Search Techniques for Constrained Portfolio Selection Problems," Computational Economics, Society for Computational Economics, vol. 20(3), pages 177-90, December.
    7. Zhang, Wei-Guo & Zhang, Xi-Li & Xiao, Wei-Lin, 2009. "Portfolio selection under possibilistic mean-variance utility and a SMO algorithm," European Journal of Operational Research, Elsevier, vol. 197(2), pages 693-700, September.
    8. Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
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    Cited by:
    1. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.

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