In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset
✦ LIBER ✦
A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
✍ Scribed by Wei-Guo Zhang; Yong-Jun Liu; Wei-Jun Xu
- Book ID
- 116437035
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 251 KB
- Volume
- 222
- Category
- Article
- ISSN
- 0377-2217
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## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield