Subject Areas :
1 - University of Science and Technology
Keywords:
Abstract :
References:
2- M.J. Best, J. Hlouskova, The efficient frontier for bounded assets, Mathematical Methods of Operations Research 52 (2000) 195–212.#
3- V.K. Chopra, W.T. Ziembia, The effect of errors in means, variances, and covariances on optimal portfolio choices, in: W.T. Ziembia, J.M. Mulvey (Eds.), Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge, 1998, pp. 53–61.#
4- Y. Crama, M. Schyns, Simulated annealing for complex portfolio selection problems, European Journal of Operational Research 150 (2003) 546–571.#
5- X.T. Deng, Z.F. Li, S.Y. Wang, A minimax portfolio selection strategy with equilibrium, European Journal of Operational Research 166 (2005) 278–292.#
6- M. Hirschberger, Y. Qi, R.E. Steuer, Randomly generating portfolio-selection covariance matrices with specified distributional characteristics, European Journal of Operational Research 177 (2007) 1610–1625.#
7- C. Huang, R. Litzenberger, Foundations for Financial Economics, Academic Press, New York, 1988.#
8- X. Huang, Two new models for portfolio selection with stochastic returns taking fuzzy information, European Journal of Operational Research (2006), doi:10.1016/j.ejor.2006. 04.010.#
9- S.C. Liu, S.Y. Wang, W.H. Qiu, A mean-variance-skewness model for portfolio selection with transaction costs, International Journal of Systems Sciences 34 (2003) 255–262.#
10- K. Chow, K.C. Denning, On variance and lower partial moment betas: The equivalence of systematic risk measures, Journal of Business Finance and Accounting 21 (1994) 231– 241.#
2- M.J. Best, J. Hlouskova, The efficient frontier for bounded assets, Mathematical Methods of Operations Research 52 (2000) 195–212.#
3- V.K. Chopra, W.T. Ziembia, The effect of errors in means, variances, and covariances on optimal portfolio choices, in: W.T. Ziembia, J.M. Mulvey (Eds.), Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge, 1998, pp. 53–61.#
4- Y. Crama, M. Schyns, Simulated annealing for complex portfolio selection problems, European Journal of Operational Research 150 (2003) 546–571.#
5- X.T. Deng, Z.F. Li, S.Y. Wang, A minimax portfolio selection strategy with equilibrium, European Journal of Operational Research 166 (2005) 278–292.#
6- M. Hirschberger, Y. Qi, R.E. Steuer, Randomly generating portfolio-selection covariance matrices with specified distributional characteristics, European Journal of Operational Research 177 (2007) 1610–1625.#
7- C. Huang, R. Litzenberger, Foundations for Financial Economics, Academic Press, New York, 1988.#
8- X. Huang, Two new models for portfolio selection with stochastic returns taking fuzzy information, European Journal of Operational Research (2006), doi:10.1016/j.ejor.2006. 04.010.#
9- S.C. Liu, S.Y. Wang, W.H. Qiu, A mean-variance-skewness model for portfolio selection with transaction costs, International Journal of Systems Sciences 34 (2003) 255–262.#
10- K. Chow, K.C. Denning, On variance and lower partial moment betas: The equivalence of systematic risk measures, Journal of Business Finance and Accounting 21 (1994) 231– 241.#
