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Portfolio rebalancing model with transaction costs based on fuzzy decision theory

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Cited by:

  1. Fang, Yong & Chen, Lihua & Fukushima, Masao, 2008. "A mixed R&D projects and securities portfolio selection model," European Journal of Operational Research, Elsevier, vol. 185(2), pages 700-715, March.
  2. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
  3. Li, Bo & Zhang, Ranran, 2021. "A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
  4. Zhang, Wei-Guo & Zhang, Xili & Chen, Yunxia, 2011. "Portfolio adjusting optimization with added assets and transaction costs based on credibility measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 353-360.
  5. Mourad Mroua & Fathi Abid, 2014. "Portfolio revision and optimal diversification strategy choices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 10(4), pages 537-564, August.
  6. Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
  7. Zhao, Daping & Bai, Lin & Fang, Yong & Wang, Shouyang, 2022. "Multi‐period portfolio selection with investor views based on scenario tree," Applied Mathematics and Computation, Elsevier, vol. 418(C).
  8. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection," CIRJE F-Series CIRJE-F-1037, CIRJE, Faculty of Economics, University of Tokyo.
  9. Gruszka, Jarosław & Szwabiński, Janusz, 2020. "Best portfolio management strategies for synthetic and real assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  10. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")," CARF F-Series CARF-F-405, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  11. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Robust Technical Trading with Fuzzy Knowledge-based Systems," CIRJE F-Series CIRJE-F-1053, CIRJE, Faculty of Economics, University of Tokyo.
  12. P. Kumar & Jyotirmayee Behera & A. K. Bhurjee, 2022. "Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis," OPSEARCH, Springer;Operational Research Society of India, vol. 59(1), pages 41-77, March.
  13. Nomeda Dobrovolskienė & Rima Tamošiūnienė, 2016. "Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making," Sustainability, MDPI, vol. 8(5), pages 1-18, May.
  14. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection," CIRJE F-Series CIRJE-F-1037, CIRJE, Faculty of Economics, University of Tokyo.
  15. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Creating Investment Scheme with State Space Modeling ," CIRJE F-Series CIRJE-F-1038, CIRJE, Faculty of Economics, University of Tokyo.
  16. 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.
  17. Shvedov, Alexey, 2016. "Estimating the means and the covariances of fuzzy random variables," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 121-138.
  18. Yong-Jun Liu & Wei-Guo Zhang, 2018. "Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 941-968, May.
  19. Liu, Yong-Jun & Zhang, Wei-Guo & Zhang, Pu, 2013. "A multi-period portfolio selection optimization model by using interval analysis," Economic Modelling, Elsevier, vol. 33(C), pages 113-119.
  20. Sujan Adhikari & Pawan Kumar Jha, Ph.D., 2016. "Applicability of Portfolio Theory in Nepali Stock Market," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 28(1), pages 65-92, April.
  21. Yu, Jing-Rung & Lee, Wen-Yi, 2011. "Portfolio rebalancing model using multiple criteria," European Journal of Operational Research, Elsevier, vol. 209(2), pages 166-175, March.
  22. Yong-Jun Liu & Wei-Guo Zhang & Jun-Bo Wang, 2016. "Multi-period cardinality constrained portfolio selection models with interval coefficients," Annals of Operations Research, Springer, vol. 244(2), pages 545-569, September.
  23. Mostafa Zandieh & Seyed Omid Mohaddesi, 2018. "Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm," Papers 1812.07635, arXiv.org.
  24. Jianjian Wang & Feng He & Xin Shi, 2019. "Numerical solution of a general interval quadratic programming model for portfolio selection," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-16, March.
  25. John Dairo Ramirez Aristizabal & Eduardo Alexander Duque Grisales, 2016. "Design Of A Investment Portfolio Using Non-Linear Programming: Case Of Colombia 2013-2014, Diseno De Un Portafolio De Inversion A Partir De Un Modelo De Programacion No Lineal: Caso Colombia 2013-2014," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 9(2), pages 31-47.
  26. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)," CARF F-Series CARF-F-413, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  27. Li, Jun & Xu, Jiuping, 2009. "A novel portfolio selection model in a hybrid uncertain environment," Omega, Elsevier, vol. 37(2), pages 439-449, April.
  28. Jongbin Jung & Seongmoon Kim, 2017. "Developing a dynamic portfolio selection model with a self-adjusted rebalancing method," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(7), pages 766-779, July.
  29. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Creating Investment Scheme with State Space Modeling," CARF F-Series cf406, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  30. Pankaj Gupta & Mukesh Mehlawat & Garima Mittal, 2012. "Asset portfolio optimization using support vector machines and real-coded genetic algorithm," Journal of Global Optimization, Springer, vol. 53(2), pages 297-315, June.
  31. Zhang, Wei-Guo & Liu, Yong-Jun & Xu, Wei-Jun, 2012. "A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 222(2), pages 341-349.
  32. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
  33. Zhang Peng & Gong Heshan & Lan Weiting, 2017. "Multi-Period Mean-Absolute Deviation Fuzzy Portfolio Selection Model with Entropy Constraints," Journal of Systems Science and Information, De Gruyter, vol. 4(5), pages 428-443, October.
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