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Fuzzy multi-period portfolio selection model with time-varying loss aversion

Liu, Yong-Jun; Zhang, Wei-guo - In: Journal of the Operational Research Society 72 (2021) 4, pp. 935-949

Persistent link: https://www.econbiz.de/10012501004

Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

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On product of positive L-R fuzzy numbers and its application to multi-period portfolio selection problems

Li, Xiang; Jiang, Hui; Guo, Sini; Ching, Wai Ki - In: Fuzzy optimization and decision making : a journal of … 19 (2020) 1, pp. 53-79

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A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time

Cui, Xiangyu; Li, Xun; Wu, Xianping; Yi, Lan - In: Journal of the Operational Research Society 69 (2018) 4, pp. 487-499

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Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms

Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221

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Discrete-time behavioral portfolio selection under cumulative prospect theory

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Dynamic portfolio optimization across hidden market regimes

Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95

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Fuzzy multi-period portfolio selection with different investment horizons

Guo, Sini; Yu, Lean; Li, Xiang; Kar, Samarjit - In: European journal of operational research : EJOR 254 (2016) 3, pp. 1026-1035

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Possibilistic moment models for multi-period portfolio selection with fuzzy returns

Liu, Yong-Jun; Zhang, Wei-guo - In: Computational economics 53 (2019) 4, pp. 1657-1686

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

Zhang, Wei-Guo; Liu, Yong-Jun; Xu, Wei-Jun - In: European Journal of Operational Research 222 (2012) 2, pp. 341-349

This paper deals with a multi-period portfolio selection problem with fuzzy returns. A possibilistic mean-semivariance-entropy model for multi-period portfolio selection is presented by taking into account four criteria viz., return, risk, transaction cost and diversification degree of...

Persistent link: https://www.econbiz.de/10010871109