Multi-objective possibilistic model for portfolio selection with transaction cost

Journal of Computational and Applied Mathematics

Volumn 228, Issue 1, 2009, Pages 188-196

  Jana, P ^a   Roy, T K ^b   Mazumder, S K ^b  

^a SCOTTISH CHURCH COLLEGE   (India)

^b INDIAN INSTITUTE OF ENGINEERING SCIENCE AND TECHNOLOGY   (India)

Author keywords

Entropy; Multi objective problem; Portfolio Rebalancing; Possibility Theory; Transaction cost

Indexed keywords

COSTS; ENTROPY; INVESTMENTS; LINEARIZATION; MULTIOBJECTIVE OPTIMIZATION;

ASSET ALLOCATIONS; CONTINUOUS DISTRIBUTIONS; MULTI OBJECTIVES; MULTI-OBJECTIVE PROBLEM; NON-LINEAR PROGRAMMING; NUMERICAL EXAMPLES; OBJECTIVE FUNCTIONS; PORTFOLIO REBALANCING; PORTFOLIO SELECTIONS; POSSIBILISTIC; POSSIBILISTIC MEANS; POSSIBILITY THEORY; TRANSACTION COST;

PROBABILITY DISTRIBUTIONS;

EID: 63349083678     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2008.09.008     Document Type: Article

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