Multi-period mean–semivariance portfolio optimization based on uncertain measure

In this paper, we discuss a multi-period portfolio selection problem when security returns are given by experts’ estimations. By considering the security returns as uncertain variables, we propose a multi-period mean–semivariance portfolio optimization model with real-world constraints, in which tra...

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Vydáno v:	Soft computing (Berlin, Germany) Ročník 23; číslo 15; s. 6231 - 6247
Hlavní autoři:	Chen, Wei, Li, Dandan, Lu, Shan, Liu, Weiyi
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer Berlin Heidelberg 01.08.2019 Springer Nature B.V
Témata:	Algorithms Artificial Intelligence Bankruptcy Computational Intelligence Constraint modelling Control Costs Engineering Evolutionary algorithms Expected values Fuzzy sets Linear programming Mathematical Logic and Foundations Mechatronics Methodologies and Application Optimization models Optimization techniques Random variables Robotics Security Skewness Multi-period portfolio optimization Semivariance Uncertain variable Imperialist competitive algorithm Cardinality constraint
ISSN:	1432-7643, 1433-7479
On-line přístup:	Získat plný text
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