Possibilistic Approaches to Portfolio Selection Problem with General Transaction Costs and a CLPSO Algorithm
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Volume (Year): 36 (2010)
Issue (Month): 3 (October)
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- 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.
- Schaerf, Andrea, 2002. "Local Search Techniques for Constrained Portfolio Selection Problems," Computational Economics, Springer;Society for Computational Economics, vol. 20(3), pages 177-90, December.
- 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.
- 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.
- Xiaolou Yang, 2006. "Improving Portfolio Efficiency: A Genetic Algorithm Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 1-14, August.
- 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, Springer;Society for Computational Economics, vol. 7(4), pages 227-44.
- 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.
- Andrew J. Morton & Stanley R. Pliska, 1995. "Optimal Portfolio Management With Fixed Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 337-356.
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