An optimization model of the portfolio adjusting problem with fuzzy return and a SMO algorithm

Expert Systems with Applications

Volumn 38, Issue 4, 2011, Pages 3069-3074

  Zhang, Xili ^a   Zhang, Wei Guo ^a   Xu, Wei Jun ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Portfolio adjusting; Possibility theory; Sequential minimal optimization (SMO); Transaction costs

Indexed keywords

FUZZY NUMBERS; NUMERICAL EXPERIMENTS; OPTIMAL PORTFOLIOS; OPTIMALITY CONDITIONS; OPTIMIZATION MODELS; PORTFOLIO ADJUSTING; PORTFOLIO OPTIMIZATION MODELS; PORTFOLIO SELECTION; POSSIBILISTIC MEAN AND VARIANCE; POSSIBILITY THEORY; RISKY ASSETS; SEQUENTIAL MINIMAL OPTIMIZATION; SEQUENTIAL MINIMAL OPTIMIZATION ALGORITHMS; SMO ALGORITHMS; SUB-PROBLEMS; TRANSACTION COST;

ALGORITHMS; COSTS; FINANCIAL DATA PROCESSING; FUZZY SETS; MATHEMATICAL MODELS;

OPTIMIZATION;

EID: 78650717210     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.08.097     Document Type: Article

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