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On Fuzzy Portfolio Selection Problems
Fuzzy Optimization and Decision Making, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shouyang Wang, Shushang Zhu
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PORTFOLIO SELECTION AND ONLINE LEARNING
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2008This paper studies a new strategy for selecting portfolios in the stock market. The strategy is inspired by two streams of previous work: (1) work on universalization of strategies for portfolio selection, which began with Thomas Cover's work on constant rebalanced portfolios, published in 1991,4 and (2) more general work on universalization of online
Tatsiana Levina, Glenn Shafer
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Journal of Optimization Theory and Applications, 2012
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Portfolio Selection and Transactions Costs
Computational Optimization and Applications, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Best, Michael J., Hlouskova, Jaroslava
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Behavioral Aspects in Portfolio Selection
2021We introduce elements of Cumulative Prospect Theory into the portfolio selection problem and then compare stock portfolios selected under the behavioral approach with those selected according to classical approaches, such as Mean Variance and Mean Absolute Deviation ones.
Barro, Diana +2 more
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Portfolio Selection in Contests
SIAM Journal on Financial MathematicsIn an investment contest with incomplete information, a finite number of agents dynamically trade assets with idiosyncratic risk and are rewarded based on the relative ranking of their terminal portfolio values. We explicitly characterize a symmetric Nash equilibrium of the contest and rigorously verify its uniqueness. The connection between the reward
Yumin Lu, Alex S. L. Tse
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Indeterminacy in portfolio selection
European Journal of Operational Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A review of credibilistic portfolio selection
Fuzzy Optimization and Decision Making, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xiaoxia Huang
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On interval portfolio selection problem
Fuzzy Optimization and Decision Making, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wu, Meng +3 more
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Portfolio Selection Using Portfolio Committees
SSRN Electronic Journal, 2020The author proposes a committee approach to portfolio selection. Because each optimal portfolio is a combination of three basic elements—strategy, covariance matrix, and risk type—the author first augments the combination to 250 optimal portfolios at each estimation period.
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