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The structure of portfolio selection depends essentially on the form of transaction cost. In this paper, we deal with the portfolio selection problems with general transaction costs under the assumption that the returns of assets obey LR-type possibility distributions. For any type of transaction costs, we employ a comprehensive learning particle swarm optimizer algorithm to obtain the optimal portfolio...
In order to fit changes in financial markets, portfolio managers often need to revise an existing portfolio. This article analyzes the portfolio adjusting problem with new added assets. We propose a possibilistic portfolio adjusting model with transaction costs and bounded constraints on holdings of assets, which can be transformed into a linear programming problem. Both the lower bounds on holdings...
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