A multi-period fuzzy portfolio optimization model with minimum transaction lots
Year of publication: |
2015
|
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Authors: | Liu, Yong-Jun ; Zhang, Wei-guo |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 242.2015, 3 (1.5.), p. 933-941
|
Subject: | Finance | Multi-period portfolio selection | Mean-semivariance | Minimum transaction lots | Genetic algorithm | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Evolutionärer Algorithmus | Evolutionary algorithm | Fuzzy-Set-Theorie | Fuzzy sets | Losgröße | Lot size | Dynamische Optimierung | Dynamic programming | Transaktionskosten | Transaction costs |
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