A compromise solution to mutual funds portfolio selection with transaction costs

European Journal of Operational Research

Volumn 134, Issue 3, 2001, Pages 564-581

  Xia, Yusen ^a,d   Wang, Shouyang ^b   Deng, Xiaotie ^c  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b INSTITUTE OF SYSTEMS SCIENCE   (China)

^c CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^d UNIVERSITY OF TSUKUBA   (Japan)

Author keywords

Compromise solution; Direct utility method; Genetic algorithm; Portfolio selection; Transaction cost

Indexed keywords

GENETIC ALGORITHMS; INVESTMENTS; LINEAR PROGRAMMING; MATRIX ALGEBRA; STRATEGIC PLANNING;

DIRECT UTILITY METHOD; PORTFOLIO SELECTION;

COSTS;

EID: 0035501903     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(00)00278-2     Document Type: Article

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