The Multi-period Portfolio Optimization Using Possibilistic Entropy and Particle Swarm Optimization(PSO)

Autor: Marzieh Mazheri Zaveh, Amir Mohammad Fakoor Saghih, Omid Soleimani Fard

Publikováno v: چشم‌انداز مدیریت صنعتی, Vol 13, Iss 4, Pp 179-207 (2023)

In this research, multi-period stock portfolio selection was modeled and solved under uncertainty and considering transaction costs. A possibilistic mean-semivariance-entropy model for multi-period portfolio selection by taking into account four crit

Externí odkaz: https://doaj.org/article/dbd2f9d186b243dd84c07330a0a19cf4

Erozyjny wpływ kosztów funduszy inwestycyjnych na wartość kapitału inwestorów w Polsce na tle wybranych krajów europejskich / The Erosive Effect of Mutual Fund Expenses on the Terminal Wealth Value of Investors in Poland and Other European Countries

Autor: Oleksy, Paweł

Publikováno v: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie / Cracow Review of Economics and Management. 937(01):85-100

Externí odkaz: https://www.ceeol.com/search/article-detail?id=267639

Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Autor: Andreas Hermes, Stanislaus Maier-Paape

Publikováno v: Risks, Vol 5, Iss 3, p 44 (2017)

In this paper, the multivariate fractional trading ansatz of money management from Vince (Vince 1990) is discussed. In particular, we prove existence and uniqueness of an “optimal f” of the respective optimization problem under reasonable assumpt

Externí odkaz: https://doaj.org/article/04ae7076d8134ceea0307a256383599f

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A Mathematical approach to fractional trading : Using the terminal wealth relative with discrete and continuous distributions

Autor: Hermes, Andreas

Publikováno v: Aachen 1 Online-Ressource (xi, 115 Seiten : Illustrationen, Diagramme) (2016). doi:10.18154/RWTH-2016-11976 = Dissertation, RWTH Aachen University, 2016

Dissertation, RWTH Aachen University, 2016; 1 Online-Ressource (xi, 115 Seiten : Illustrationen, Diagramme)(2016).
The "optimal f" trading model based on discrete historical trading returns was introduced by Ralph Vince [Vin90, Vin08, Vin09] as

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7e8b181b9554afb98abba2601067178