The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 10, 2010, Pages 2070-2076

  Chen, Wei ^a   Zhang, Wei Guo ^b  

^a CAPITAL UNIVERSITY OF ECONOMICS AND BUSINESS   (China)

^b SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Admissible return; Admissible risk; Particle swarm optimization; Portfolio selection; Transaction costs

Indexed keywords

COSTS; RISK PERCEPTION;

ADMISSIBLE RETURN; ADMISSIBLE RISKS; IMPROVED PSO ALGORITHMS; OPTIMIZATION ALGORITHMS; PARTICLE SWARM OPTIMIZATION ALGORITHM; PORTFOLIO SELECTION; PORTFOLIO SELECTION PROBLEMS; TRANSACTION COST;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 77649274741     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.01.016     Document Type: Article

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