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Portfolio optimization : a multi-period model with dynamic risk preference and minimum lots of transaction

Liu, Yiying; Zhou, Yongbin; Niu, Juanjuan - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473466

A multi-period fuzzy portfolio optimization model with minimum transaction lots

Liu, Yong-Jun; Zhang, Wei-guo - In: European journal of operational research : EJOR 242 (2015) 3, pp. 933-941

Persistent link: https://www.econbiz.de/10010492358

A multi-period fuzzy portfolio optimization model with minimum transaction lots

Liu, Yong-Jun; Zhang, Wei-Guo - In: European Journal of Operational Research 242 (2015) 3, pp. 933-941

In this paper, we consider a multi-period fuzzy portfolio optimization problem with minimum transaction lots. Based on …, transaction costs, diversification degree, cardinality constraint and minimum transaction lots into consideration. To reflect …

Persistent link: https://www.econbiz.de/10011190791

Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations

Huang, Xiaoxia; Ying, Haiyao - In: Economic modelling 30 (2013), pp. 61-66

Persistent link: https://www.econbiz.de/10009702264

Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations

Huang, Xiaoxia; Ying, Haiyao - In: Economic Modelling 30 (2013) C, pp. 61-66

This paper discusses a portfolio adjusting problem with additional risk assets and a riskless asset in the situation where security returns are given by experts' evaluations rather than historical data. Uncertain variables are employed to describe the security returns. Using expected value and...

Persistent link: https://www.econbiz.de/10010608263