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QPSO algorithm based on Lévy flight and its application in fuzzy portfolio

  • Published:2021-02 Issue: Volume:99 Page:106894
  • ISSN:1568-4946
  • Container-title:Applied Soft Computing
  • language:en
  • Short-container-title:Applied Soft Computing

Author:

Lu Xiao-li,He Guang

Funder

Chongqing Municipal Education Commission Project, China

Chongqing Municipal Science and Technology Project, China

Doctoral Research Project of Chongqing Technology and Business University, China

Youth Project of Chongqing Technology and Business University, China

Project of Research Center for Economy of Upper Reaches of the Yangtze River

Publisher

Elsevier BV

Subject

Software

Reference35 articles.

1. Portfolio selection;Markowitz;J. Financ.,1952

2. The measurement and control of trading costs;Arnott;Financ. Anal. J.,1990

3. The mean-semivariances approach to realistic portfolio optimization subject to transaction costs;Hamza;Appl. Stoch. Model. Data Anal.,1998

4. Optimal portfolio and background risk: an exact and an approximated solution;Menoncin;Insurance Math. Econom.,2002

5. Risk measurement in the presence of background risk;Tsanakas;Insurance Math. Econom.,2008
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