A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs-Reference-Cited by-同舟云学术

A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs

Published:2012-10 Issue:2 Volume:222 Page:341-349
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Zhang Wei-Guo,Liu Yong-Jun,Xu Wei-Jun

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference51 articles.

1. Optimal multiperiod investment-consumption policies;Abrams;Econometrica,1980

2. The measurement and control of trading costs;Arnott;Financial Analysts Journal,1990

3. Robust multiperiod portfolio management in the presence of transaction costs;Bertsimas;Computers and Operations Research,2008

4. Fuzzy compromise programming for portfolio selection;Bilbao-Terol;Applied Mathematics and Computation,2006

5. Multi-period portfolio optimization with linear control policies;Calafiore;Automatica,2008

Cited by 128 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Research on optimization strategy of futures hedging dependent on market state;Applied Energy;2024-11

2. Cardinality and Bounding Constrained Portfolio Optimization Using Safe Reinforcement Learning;2024 International Joint Conference on Neural Networks (IJCNN);2024-06-30

3. A Bibliometric Analysis of Possibilistic Portfolio Selection Models;Pamukkale Üniversitesi İşletme Araştırmaları Dergisi;2024-06-30

4. A dynamic price jump exit and re-entry strategy for intraday trading algorithms based on market volatility;Expert Systems with Applications;2024-06

5. Comparative Performance Measurement in the Full Electric Vehicle Market;Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi;2024-02-25