Portfolio selection under possibilistic mean-variance utility and a SMO algorithm

European Journal of Operational Research

Volumn 197, Issue 2, 2009, Pages 693-700

  Zhang, Wei Guo ^a   Zhang, Xi Li ^a   Xiao, Wei Lin ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Mean variance utility; Parametric quadratic programming; Portfolio selection; Possibilistic distribution; Sequential minimal optimization (SMO)

Indexed keywords

OPTIMIZATION; QUADRATIC PROGRAMMING; SEQUENTIAL SWITCHING;

MEAN-VARIANCE UTILITY; PARAMETRIC QUADRATIC PROGRAMMING; PORTFOLIO SELECTION; POSSIBILISTIC DISTRIBUTION; SEQUENTIAL MINIMAL OPTIMIZATION (SMO);

COMPUTER SOFTWARE SELECTION AND EVALUATION;

EID: 60649119564     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2008.07.011     Document Type: Article

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