Possibilistic Approaches to Portfolio Selection Problem with General Transaction Costs and a CLPSO Algorithm
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- 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.
More about this item
KeywordsPortfolio selection; Transaction cost; LR-type possibility distribution; Mean-variance utility; Comprehensive learning particle swarm optimizer (CLPSO);
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