• Title of article

    The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

  • Author/Authors

    Wei Chen، نويسنده , , Wei-Guo Zhang، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2010
  • Pages
    7
  • From page
    2070
  • To page
    2076
  • Abstract
    In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization (PSO) algorithm because traditional optimization algorithms fail to work efficiently for our proposed problem. Finally, we offer a numerical example to illustrate the proposed effective approaches and compare the admissible portfolio efficient frontiers under different constraints.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2010
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    873641