Portfolio adjusting optimization under credibility measures

Journal of Computational and Applied Mathematics

Volumn 234, Issue 5, 2010, Pages 1458-1465

  Zhang, Xili ^a   Zhang, Wei Guo ^a   Cai, Ruichu ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Credibility measure; Portfolio adjusting; Possibility theory; Sequential quadratic programming method; Transaction costs

Indexed keywords

CREDIBILITY MEASURE; CREDIBILITY THEORY; FUZZY VARIABLE; MEAN VARIANCE; NUMERICAL EXAMPLE; OPTIMAL STRATEGIES; OPTIMIZATION MODELS; PORTFOLIO SELECTION; POSSIBILITY THEORY; RISKY ASSETS; SEQUENTIAL QUADRATIC PROGRAMMING METHOD; TRANSACTION COST;

COSTS; QUADRATIC PROGRAMMING;

OPTIMIZATION;

EID: 77950840730     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2010.02.022     Document Type: Article

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