How to cite this paper
Barati, M., Mohammadi, M & Naderi, B. (2016). Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm.International Journal of Industrial Engineering Computations , 7(2), 217-228.
Refrences
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Calafiore, G. C. (2008). Multi-period portfolio optimization with linear control policies. Automatica, 44(10), 2463-2473.
Celikyurt, U., & ?zekici, S. (2007). Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach. European Journal of Operational Research, 179(1), 186-202.
Giove, S., Funari, S., & Nardelli, C. (2006). An interval portfolio selection problem based on regret function. European Journal of Operational Research,170(1), 253-264.
Golberg, D. E. (1989). Genetic algorithms in search, optimization, and machine learning. Addion Wesley, 1989.
Gülp?nar, N., & Rustem, B. (2007). Worst-case robust decisions for multi-period mean–variance portfolio optimization. European Journal of Operational Research, 183(3), 981-1000.
Gupta, P., Mehlawat, M. K., & Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences, 178(6), 1734-1755.
Li, D., & Ng, W. L. (2000). Optimal Dynamic Portfolio Selection: Multiperiod Mean?Variance Formulation. Mathematical Finance, 10(3), 387-406.
Li, J., & Xu, J. (2013). Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm.Information Sciences, 220, 507-521.
Liu, Y. J., & Zhang, W. G. (2013). Fuzzy portfolio optimization model under real constraints. Insurance: Mathematics and Economics, 53(3), 704-711.
Liu, Y. J., Zhang, W. G., & Xu, W. J. (2012). Fuzzy multi-period portfolio selection optimization models using multiple criteria. Automatica, 48(12), 3042-3053.
Mansini, R., & Speranza, M. G. (1999). Heuristic algorithms for the portfolio selection problem with minimum transaction lots. European Journal of Operational Research, 114(2), 219-233.
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. John Wiley, New York.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Sun, J., Fang, W., Wu, X., Lai, C. H., & Xu, W. (2011). Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization. Expert Systems with Applications, 38(6), 6727-6735.
Takano, Y., & Gotoh, J. Y. (2011). Constant rebalanced portfolio optimization under nonlinear transaction costs. Asia-Pacific Financial Markets, 18(2), 191-211.
Wei, S. Z., & Ye, Z. X. (2007). Multi-period optimization portfolio with bankruptcy control in stochastic market. Applied Mathematics and Computation, 186(1), 414-425.
Xia, Y., Liu, B., Wang, S., & Lai, K. K. (2000). A model for portfolio selection with order of expected returns. Computers & Operations Research, 27(5), 409-422.
Yu, J. R., & Lee, W. Y. (2011). Portfolio rebalancing model using multiple criteria. European Journal of Operational Research, 209(2), 166-175.
Zadeh, L. A. (1965). Fuzzy sets. Information and control, 8(3), 338-353.
Zhang, W. G., Liu, Y. J., & Xu, W. J. (2012). A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs. European Journal of Operational Research, 222(2), 341-349.
Zhang, X. L., & Zhang, K. C. (2009). Using genetic algorithm to solve a new multi-period stochastic optimization model. Journal of computational and applied mathematics, 231(1), 114-123.
Calafiore, G. C. (2008). Multi-period portfolio optimization with linear control policies. Automatica, 44(10), 2463-2473.
Celikyurt, U., & ?zekici, S. (2007). Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach. European Journal of Operational Research, 179(1), 186-202.
Giove, S., Funari, S., & Nardelli, C. (2006). An interval portfolio selection problem based on regret function. European Journal of Operational Research,170(1), 253-264.
Golberg, D. E. (1989). Genetic algorithms in search, optimization, and machine learning. Addion Wesley, 1989.
Gülp?nar, N., & Rustem, B. (2007). Worst-case robust decisions for multi-period mean–variance portfolio optimization. European Journal of Operational Research, 183(3), 981-1000.
Gupta, P., Mehlawat, M. K., & Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences, 178(6), 1734-1755.
Li, D., & Ng, W. L. (2000). Optimal Dynamic Portfolio Selection: Multiperiod Mean?Variance Formulation. Mathematical Finance, 10(3), 387-406.
Li, J., & Xu, J. (2013). Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm.Information Sciences, 220, 507-521.
Liu, Y. J., & Zhang, W. G. (2013). Fuzzy portfolio optimization model under real constraints. Insurance: Mathematics and Economics, 53(3), 704-711.
Liu, Y. J., Zhang, W. G., & Xu, W. J. (2012). Fuzzy multi-period portfolio selection optimization models using multiple criteria. Automatica, 48(12), 3042-3053.
Mansini, R., & Speranza, M. G. (1999). Heuristic algorithms for the portfolio selection problem with minimum transaction lots. European Journal of Operational Research, 114(2), 219-233.
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. John Wiley, New York.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Sun, J., Fang, W., Wu, X., Lai, C. H., & Xu, W. (2011). Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization. Expert Systems with Applications, 38(6), 6727-6735.
Takano, Y., & Gotoh, J. Y. (2011). Constant rebalanced portfolio optimization under nonlinear transaction costs. Asia-Pacific Financial Markets, 18(2), 191-211.
Wei, S. Z., & Ye, Z. X. (2007). Multi-period optimization portfolio with bankruptcy control in stochastic market. Applied Mathematics and Computation, 186(1), 414-425.
Xia, Y., Liu, B., Wang, S., & Lai, K. K. (2000). A model for portfolio selection with order of expected returns. Computers & Operations Research, 27(5), 409-422.
Yu, J. R., & Lee, W. Y. (2011). Portfolio rebalancing model using multiple criteria. European Journal of Operational Research, 209(2), 166-175.
Zadeh, L. A. (1965). Fuzzy sets. Information and control, 8(3), 338-353.
Zhang, W. G., Liu, Y. J., & Xu, W. J. (2012). A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs. European Journal of Operational Research, 222(2), 341-349.
Zhang, X. L., & Zhang, K. C. (2009). Using genetic algorithm to solve a new multi-period stochastic optimization model. Journal of computational and applied mathematics, 231(1), 114-123.