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Fuzzy portfolio optimization model under real constraints

Liu, Yong-Jun; Zhang, Wei-Guo - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 704-711

This paper discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by...

Persistent link: https://www.econbiz.de/10010719101

Fuzzy portfolio optimization model under real constraints

Liu, Yong-jun; Zhang, Wei-guo - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 704-711

Persistent link: https://www.econbiz.de/10010227896

A multi-period portfolio selection optimization model by using interval analysis

Liu, Yong-jun; Zhang, Wei-guo; Zhang, Pu - In: Economic modelling 33 (2013), pp. 113-119

Persistent link: https://www.econbiz.de/10010192031

Credibilitic mean-variance model for multi-period portfolio selection problem with risk control

Zhang, Wei-guo; Liu, Yong-jun - In: OR spectrum : quantitative approaches in management 36 (2014) 1, pp. 113-132

Persistent link: https://www.econbiz.de/10010251262

A possible mean-semivariance-entropy model for multi-period portfolio selection with transaction costs

Zhang, Wei-guo; Liu, Yong-jun; Xu, Wei-jun - In: European journal of operational research : EJOR 222 (2012) 2, pp. 341-349

Persistent link: https://www.econbiz.de/10009570407

A multi-period fuzzy portfolio optimization model with minimum transaction lots

Liu, Yong-Jun; Zhang, Wei-guo - In: European journal of operational research : EJOR 242 (2015) 3, pp. 933-941

Persistent link: https://www.econbiz.de/10010492358

Multi-period cardinality constrained portfolio selection models with interval coefficients

Liu, Yong-Jun; Zhang, Wei-guo; Wang, Jun-Bo - 2016

Persistent link: https://www.econbiz.de/10011547224

Possibilistic moment models for multi-period portfolio selection with fuzzy returns

Liu, Yong-Jun; Zhang, Wei-guo - In: Computational economics 53 (2019) 4, pp. 1657-1686

Persistent link: https://www.econbiz.de/10012135586

Fuzzy portfolio selection model with real features and different decision behaviors

Liu, Yong-Jun; Zhang, Wei-guo - In: Fuzzy optimization and decision making : a journal of … 17 (2018) 3, pp. 317-336

Persistent link: https://www.econbiz.de/10012098266

Fuzzy multi-period portfolio selection model with time-varying loss aversion

Liu, Yong-Jun; Zhang, Wei-guo - In: Journal of the Operational Research Society 72 (2021) 4, pp. 935-949

Persistent link: https://www.econbiz.de/10012501004