Deng, Yulin; Xu, Hongfeng; Wu, Jie Optimization of blockchain investment portfolio under artificial bee colony algorithm. (English) Zbl 07305121 J. Comput. Appl. Math. 385, Article ID 113199, 12 p. (2021). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{Y. Deng} et al., J. Comput. Appl. Math. 385, Article ID 113199, 12 p. (2021; Zbl 07305121) Full Text: DOI
Oyenubi, Adeola Optimal portfolios on mean-diversification efficient frontiers. (English) Zbl 07306689 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 35-63 (2020). MSC: 91G10 68W50 PDF BibTeX XML Cite \textit{A. Oyenubi}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 35--63 (2020; Zbl 07306689) Full Text: DOI
Zhu, Kun; Liu, Rong; Wang, Meiqing Reinforcement learning state and value function selection for portfolio optimization. (Chinese. English summary) Zbl 07266755 J. Fuzhou Univ., Nat. Sci. 48, No. 2, 146-151 (2020). MSC: 68T05 91G10 PDF BibTeX XML Cite \textit{K. Zhu} et al., J. Fuzhou Univ., Nat. Sci. 48, No. 2, 146--151 (2020; Zbl 07266755) Full Text: DOI
Zhang, Peng; Huang, Meiyu Random fuzzy mixture of equally weighted and minimum-variance portfolios selection problem. (Chinese. English summary) Zbl 07266606 Fuzzy Syst. Math. 34, No. 1, 67-79 (2020). MSC: 91G10 91G80 93E20 03E72 PDF BibTeX XML Cite \textit{P. Zhang} and \textit{M. Huang}, Fuzzy Syst. Math. 34, No. 1, 67--79 (2020; Zbl 07266606)
Yang, Xingyu; He, Jin’An; Xian, Jiayi; Lin, Hong; Zhang, Yong Aggregating expert advice strategy for online portfolio selection with side information. (English) Zbl 1436.91105 Soft Comput. 24, No. 3, 2067-2081 (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{X. Yang} et al., Soft Comput. 24, No. 3, 2067--2081 (2020; Zbl 1436.91105) Full Text: DOI
Lazulfa, Indana A multi-objective firefly algorithm for practical portfolio optimization problem. (English) Zbl 07289195 J. Indones. Math. Soc. 25, No. 3, 282-291 (2019). MSC: 62P05 62M10 PDF BibTeX XML Cite \textit{I. Lazulfa}, J. Indones. Math. Soc. 25, No. 3, 282--291 (2019; Zbl 07289195) Full Text: DOI
Yan, Li’na; Wu, Jun Dynamic population scale cooperative evolutionary algorithm for multi-objective portfolio optimization problems. (Chinese. English summary) Zbl 1449.91137 Math. Pract. Theory 49, No. 19, 9-17 (2019). MSC: 91G10 90C29 90C59 PDF BibTeX XML Cite \textit{L. Yan} and \textit{J. Wu}, Math. Pract. Theory 49, No. 19, 9--17 (2019; Zbl 1449.91137)
Zhang, Peng Random credibilitic portfolio selection problem with different convex transaction costs. (English) Zbl 1436.91106 Soft Comput. 23, No. 24, 13309-13320 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{P. Zhang}, Soft Comput. 23, No. 24, 13309--13320 (2019; Zbl 1436.91106) Full Text: DOI
Ngoko, Yanik; Cérin, Christophe; Trystram, Denis Solving SAT in a distributed cloud: a portfolio approach. (English) Zbl 1430.68293 Int. J. Appl. Math. Comput. Sci. 29, No. 2, 261-274 (2019). MSC: 68T20 68W15 68W25 PDF BibTeX XML Cite \textit{Y. Ngoko} et al., Int. J. Appl. Math. Comput. Sci. 29, No. 2, 261--274 (2019; Zbl 1430.68293) Full Text: DOI
Song, Huihui; Long, Xianjun; Long, Qiang A multi-objective portfolio model with improved transaction cost based on CVaR. (Chinese. English summary) Zbl 1449.91129 J. Chongqing Norm. Univ., Nat. Sci. 36, No. 3, 16-20 (2019). MSC: 91G10 90C29 PDF BibTeX XML Cite \textit{H. Song} et al., J. Chongqing Norm. Univ., Nat. Sci. 36, No. 3, 16--20 (2019; Zbl 1449.91129) Full Text: DOI
Shylo, V. P.; Chupov, S. V. Efficient methods to organize the parallel execution of optimization algorithms. (English. Russian original) Zbl 1434.90007 Cybern. Syst. Anal. 55, No. 4, 677-682 (2019); translation from Kibern. Sist. Anal. 2019, No. 4, 176-183 (2019). MSC: 90-04 PDF BibTeX XML Cite \textit{V. P. Shylo} and \textit{S. V. Chupov}, Cybern. Syst. Anal. 55, No. 4, 677--682 (2019; Zbl 1434.90007); translation from Kibern. Sist. Anal. 2019, No. 4, 176--183 (2019) Full Text: DOI
Yue, Wei; Wang, Yuping; Xuan, Hejun Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures. (English) Zbl 1418.91494 Soft Comput. 23, No. 17, 8159-8179 (2019). MSC: 91G10 90C59 90C70 PDF BibTeX XML Cite \textit{W. Yue} et al., Soft Comput. 23, No. 17, 8159--8179 (2019; Zbl 1418.91494) Full Text: DOI
Chen, Wei; Li, Dandan; Lu, Shan; Liu, Weiyi Multi-period mean-semivariance portfolio optimization based on uncertain measure. (English) Zbl 1418.91458 Soft Comput. 23, No. 15, 6231-6247 (2019). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Chen} et al., Soft Comput. 23, No. 15, 6231--6247 (2019; Zbl 1418.91458) Full Text: DOI
Näf, Jeffrey; Paolella, Marc S.; Polak, Paweł Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. (English) Zbl 1415.60021 J. Multivariate Anal. 172, 84-106 (2019). MSC: 60E07 60E10 62H12 62P05 PDF BibTeX XML Cite \textit{J. Näf} et al., J. Multivariate Anal. 172, 84--106 (2019; Zbl 1415.60021) Full Text: DOI
Lu, Ya-Nan; Li, Sai-Ping; Zhong, Li-Xin; Jiang, Xiong-Fei; Ren, Fei A clustering-based portfolio strategy incorporating momentum effect and market trend prediction. (English) Zbl 1442.91089 Chaos Solitons Fractals 117, 1-15 (2018). MSC: 91G10 91G15 PDF BibTeX XML Cite \textit{Y.-N. Lu} et al., Chaos Solitons Fractals 117, 1--15 (2018; Zbl 1442.91089) Full Text: DOI
Xu, Weijun; Yu, Canbin; Xu, Zhongyue Multi-stage active portfolio management with multiple constraints and its empirical study. (Chinese. English summary) Zbl 1438.91133 Oper. Res. Trans. 22, No. 4, 57-68 (2018). MSC: 91G10 91G70 90C30 90C39 PDF BibTeX XML Cite \textit{W. Xu} et al., Oper. Res. Trans. 22, No. 4, 57--68 (2018; Zbl 1438.91133) Full Text: DOI
Souravlias, Dimitris; Parsopoulos, Konstantinos E. On the design of metaheuristics-based algorithm portfolios. (English) Zbl 1421.90181 Pardalos, Panos M. (ed.) et al., Open problems in optimization and data analysis. Based on the summer school on challenges and open problems in optimization and data science, Deucalion Summer Institute for Advanced Studies in Optimization, Mathematics, and Data Science, Greece, August 2016. Cham: Springer. Springer Optim. Appl. 141, 271-284 (2018). MSC: 90C59 91G10 91G80 90C26 PDF BibTeX XML Cite \textit{D. Souravlias} and \textit{K. E. Parsopoulos}, Springer Optim. Appl. 141, 271--284 (2018; Zbl 1421.90181) Full Text: DOI
Nika, Z.; Rásonyi, M. Log-optimal portfolios with memory effect. (English) Zbl 1411.91522 Appl. Math. Finance 25, No. 5-6, 557-585 (2018). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{Z. Nika} and \textit{M. Rásonyi}, Appl. Math. Finance 25, No. 5--6, 557--585 (2018; Zbl 1411.91522) Full Text: DOI
Majumder, Saibal; Kar, Samarjit; Pal, Tandra Mean-entropy model of uncertain portfolio selection problem. (English) Zbl 1409.91216 Mandal, Jyotsna K. (ed.) et al., Multi-objective optimization. Evolutionary to hybrid framework. Singapore: Springer. 25-54 (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{S. Majumder} et al., in: Multi-objective optimization. Evolutionary to hybrid framework. Singapore: Springer. 25--54 (2018; Zbl 1409.91216) Full Text: DOI
Wang, Meihua; Xu, Fengmin; Dai, Yu-Hong An index tracking model with stratified sampling and optimal allocation. (English) Zbl 1419.91594 Appl. Stoch. Models Bus. Ind. 34, No. 2, 144-157 (2018). MSC: 91G10 90C11 91-04 PDF BibTeX XML Cite \textit{M. Wang} et al., Appl. Stoch. Models Bus. Ind. 34, No. 2, 144--157 (2018; Zbl 1419.91594) Full Text: DOI
Hasuike, Takashi; Mehlawat, Mukesh Kumar Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse. (English) Zbl 1419.91582 Ann. Oper. Res. 269, No. 1-2, 205-221 (2018). MSC: 91G10 90C70 91G70 PDF BibTeX XML Cite \textit{T. Hasuike} and \textit{M. K. Mehlawat}, Ann. Oper. Res. 269, No. 1--2, 205--221 (2018; Zbl 1419.91582) Full Text: DOI
Chen, Wei; Wang, Yun; Mehlawat, Mukesh Kumar A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs. (English) Zbl 1411.91492 Ann. Oper. Res. 269, No. 1-2, 129-147 (2018). MSC: 91G10 90C70 91-04 PDF BibTeX XML Cite \textit{W. Chen} et al., Ann. Oper. Res. 269, No. 1--2, 129--147 (2018; Zbl 1411.91492) Full Text: DOI
Dorostkar-Ahmadi, Nahid; Nikabadi, Mohsen Shafiei A nonlinear multi objective model for the product portfolio optimization: an integer programming. (English) Zbl 1412.90140 Int. J. Nonlinear Anal. Appl. 9, No. 2, 231-239 (2018). MSC: 90C30 65K05 PDF BibTeX XML Cite \textit{N. Dorostkar-Ahmadi} and \textit{M. S. Nikabadi}, Int. J. Nonlinear Anal. Appl. 9, No. 2, 231--239 (2018; Zbl 1412.90140) Full Text: DOI
Gong, Heshan; Zhang, Peng; Peng, Biyu Uncertain mean-chance portfolio selection with real constraints. (Chinese. English summary) Zbl 1424.91105 Fuzzy Syst. Math. 32, No. 3, 94-110 (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Gong} et al., Fuzzy Syst. Math. 32, No. 3, 94--110 (2018; Zbl 1424.91105)
Liu, Yong-Jun; Zhang, Wei-Guo Fuzzy portfolio selection model with real features and different decision behaviors. (English) Zbl 1429.91292 Fuzzy Optim. Decis. Mak. 17, No. 3, 317-336 (2018). MSC: 91G10 90C70 PDF BibTeX XML Cite \textit{Y.-J. Liu} and \textit{W.-G. Zhang}, Fuzzy Optim. Decis. Mak. 17, No. 3, 317--336 (2018; Zbl 1429.91292) Full Text: DOI
Malone, Brandon; Kangas, Kustaa; Järvisalo, Matti; Koivisto, Mikko; Myllymäki, Petri Empirical hardness of finding optimal Bayesian network structures: algorithm selection and runtime prediction. (English) Zbl 06855218 Mach. Learn. 107, No. 1, 247-283 (2018). MSC: 68T05 PDF BibTeX XML Cite \textit{B. Malone} et al., Mach. Learn. 107, No. 1, 247--283 (2018; Zbl 06855218) Full Text: DOI
Liu, Yong-Jun; Zhang, Wei-Guo; Zhao, Xue-Jin Fuzzy multi-period portfolio selection model with discounted transaction costs. (English) Zbl 1382.91086 Soft Comput. 22, No. 1, 177-193 (2018). MSC: 91G10 90C70 90C59 PDF BibTeX XML Cite \textit{Y.-J. Liu} et al., Soft Comput. 22, No. 1, 177--193 (2018; Zbl 1382.91086) Full Text: DOI
Eftekharian, Seyedeh Elham; Shojafar, Mohammad; Shamshirband, Shahaboddin 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization. (English) Zbl 07052068 Algorithms (Basel) 10, No. 4, Paper No. 130, 14 p. (2017). MSC: 90 91 PDF BibTeX XML Cite \textit{S. E. Eftekharian} et al., Algorithms (Basel) 10, No. 4, Paper No. 130, 14 p. (2017; Zbl 07052068) Full Text: DOI
Yuan, Guoqiang; Li, Chunping; Zhu, Jianlin Liquidity capital management model under fuzzy environment and its hybrid intelligent algorithm. (Chinese. English summary) Zbl 1424.91117 Fuzzy Syst. Math. 31, No. 1, 93-100 (2017). MSC: 91G10 91G80 90C59 PDF BibTeX XML Cite \textit{G. Yuan} et al., Fuzzy Syst. Math. 31, No. 1, 93--100 (2017; Zbl 1424.91117)
Li, Tengfei; Chen, Kani; Feng, Yang; Ying, Zhiliang Binary switch portfolio. (English) Zbl 1402.91711 Quant. Finance 17, No. 5, 763-780 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{T. Li} et al., Quant. Finance 17, No. 5, 763--780 (2017; Zbl 1402.91711) Full Text: DOI
Cont, Rama; Kukanov, Arseniy Optimal order placement in limit order markets. (English) Zbl 1402.91678 Quant. Finance 17, No. 1, 21-39 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{R. Cont} and \textit{A. Kukanov}, Quant. Finance 17, No. 1, 21--39 (2017; Zbl 1402.91678) Full Text: DOI
Domino, Krzysztof The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios. (English) Zbl 1400.91675 Physica A 467, 267-276 (2017). MSC: 91G80 91G60 91G10 PDF BibTeX XML Cite \textit{K. Domino}, Physica A 467, 267--276 (2017; Zbl 1400.91675) Full Text: DOI
Yue, Wei; Wang, Yuping A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios. (English) Zbl 1400.91572 Physica A 465, 124-140 (2017). MSC: 91G10 90C29 90C70 PDF BibTeX XML Cite \textit{W. Yue} and \textit{Y. Wang}, Physica A 465, 124--140 (2017; Zbl 1400.91572) Full Text: DOI
Feng, Yuan; Wang, Li; Liu, Xinhong Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach. (English) Zbl 06920629 Algorithms (Basel) 10, No. 2, Paper No. 43, 18 p. (2017). MSC: 00 PDF BibTeX XML Cite \textit{Y. Feng} et al., Algorithms (Basel) 10, No. 2, Paper No. 43, 18 p. (2017; Zbl 06920629) Full Text: DOI
Wang, Qiang; Li, Ting Fuzzy portfolio MV model considering inflation factors. (Chinese. English summary) Zbl 1399.91101 J. Ningxia Univ., Nat. Sci. Ed. 38, No. 4, 342-346, 352 (2017). MSC: 91G10 90C59 90C70 PDF BibTeX XML Cite \textit{Q. Wang} and \textit{T. Li}, J. Ningxia Univ., Nat. Sci. Ed. 38, No. 4, 342--346, 352 (2017; Zbl 1399.91101)
Luo, Qixuan; Li, Handong Improved dynamic trading strategy IS algorithm. (Chinese. English summary) Zbl 1399.91097 J. Beijing Norm. Univ., Nat. Sci. 53, No. 3, 288-293 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{Q. Luo} and \textit{H. Li}, J. Beijing Norm. Univ., Nat. Sci. 53, No. 3, 288--293 (2017; Zbl 1399.91097) Full Text: DOI
Al Janabi, Mazin A. M.; Arreola Hernandez, Jose; Berger, Theo; Nguyen, Duc Khuong Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (English) Zbl 1402.91659 Eur. J. Oper. Res. 259, No. 3, 1121-1131 (2017). MSC: 91G10 91G70 62P05 PDF BibTeX XML Cite \textit{M. A. M. Al Janabi} et al., Eur. J. Oper. Res. 259, No. 3, 1121--1131 (2017; Zbl 1402.91659) Full Text: DOI
Xu, Fengmin; Sun, Min; Dai, Yuhong An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact. (English) Zbl 1409.91222 J. Syst. Sci. Complex. 30, No. 5, 1121-1135 (2017). MSC: 91G10 90C20 PDF BibTeX XML Cite \textit{F. Xu} et al., J. Syst. Sci. Complex. 30, No. 5, 1121--1135 (2017; Zbl 1409.91222) Full Text: DOI
Chen, Wei; Wang, Yun; Zhang, Jun; Lu, Shan Uncertain portfolio selection with high-order moments. (English) Zbl 1377.91147 J. Intell. Fuzzy Syst. 33, No. 3, 1397-1411 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Chen} et al., J. Intell. Fuzzy Syst. 33, No. 3, 1397--1411 (2017; Zbl 1377.91147) Full Text: DOI
Zhang, Chao; Hu, Rui; Wei, Lirong Uncertain portfolio selection model considering transaction costs and minimum transaction lots requirement. (English) Zbl 1376.91158 J. Intell. Fuzzy Syst. 32, No. 6, 4543-4554 (2017). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{C. Zhang} et al., J. Intell. Fuzzy Syst. 32, No. 6, 4543--4554 (2017; Zbl 1376.91158) Full Text: DOI
Kar, Mohuya B.; Majumder, Saibal; Kar, Samarjit; Pal, Tandra Cross-entropy based multi-objective uncertain portfolio selection problem. (English) Zbl 1376.91150 J. Intell. Fuzzy Syst. 32, No. 6, 4467-4483 (2017). MSC: 91G10 90C29 90C59 PDF BibTeX XML Cite \textit{M. B. Kar} et al., J. Intell. Fuzzy Syst. 32, No. 6, 4467--4483 (2017; Zbl 1376.91150) Full Text: DOI
Sant’Anna, Leonardo Riegel; Filomena, Tiago Pascoal; Guedes, Pablo Cristini; Borenstein, Denis Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming. (English) Zbl 1377.91152 Ann. Oper. Res. 258, No. 2, 849-867 (2017). MSC: 91G10 90C59 90C30 PDF BibTeX XML Cite \textit{L. R. Sant'Anna} et al., Ann. Oper. Res. 258, No. 2, 849--867 (2017; Zbl 1377.91152) Full Text: DOI
Mou, En; Gao, Yuelin Multi-period futures hedging study based on overall risk minimization. (Chinese. English summary) Zbl 1389.91100 Math. Pract. Theory 47, No. 1, 32-37 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{E. Mou} and \textit{Y. Gao}, Math. Pract. Theory 47, No. 1, 32--37 (2017; Zbl 1389.91100)
Ma, Fuling An empirical study of index replication method based on genetic algorithm. (Chinese. English summary) Zbl 1389.91099 J. Shanghai Norm. Univ., Nat. Sci. 46, No. 2, 186-194 (2017). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{F. Ma}, J. Shanghai Norm. Univ., Nat. Sci. 46, No. 2, 186--194 (2017; Zbl 1389.91099) Full Text: DOI
Gao, Yuelin; Yu, Yaping Portfolio model based on hybrid quantum particle swarm optimization with empirical research. (Chinese. English summary) Zbl 1389.91095 Chin. J. Eng. Math. 34, No. 1, 21-30 (2017). MSC: 91G10 68Q12 68T20 PDF BibTeX XML Cite \textit{Y. Gao} and \textit{Y. Yu}, Chin. J. Eng. Math. 34, No. 1, 21--30 (2017; Zbl 1389.91095) Full Text: DOI
Shephard, Neil; Xiu, Dacheng Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading. (English) Zbl 1391.62295 J. Econom. 201, No. 1, 19-42 (2017). MSC: 62P20 62G05 62H12 PDF BibTeX XML Cite \textit{N. Shephard} and \textit{D. Xiu}, J. Econom. 201, No. 1, 19--42 (2017; Zbl 1391.62295) Full Text: DOI
Bai, Yanqin; Wei, Yudan; Li, Qian An optimal trade-off model for portfolio selection with sensitivity of parameters. (English) Zbl 1364.90238 J. Ind. Manag. Optim. 13, No. 2, 947-965 (2017). MSC: 90C20 91G10 91G80 PDF BibTeX XML Cite \textit{Y. Bai} et al., J. Ind. Manag. Optim. 13, No. 2, 947--965 (2017; Zbl 1364.90238) Full Text: DOI
Demyanova, Yulia; Pani, Thomas; Veith, Helmut; Zuleger, Florian Empirical software metrics for benchmarking of verification tools. (English) Zbl 1360.68371 Form. Methods Syst. Des. 50, No. 2-3, 289-316 (2017). MSC: 68N99 68Q60 PDF BibTeX XML Cite \textit{Y. Demyanova} et al., Form. Methods Syst. Des. 50, No. 2--3, 289--316 (2017; Zbl 1360.68371) Full Text: DOI
Chen, Lin; Peng, Jin; Zhang, Bo; Rosyida, Isnaini Diversified models for portfolio selection based on uncertain semivariance. (English) Zbl 1411.91491 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 48, No. 3, 637-648 (2017). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{L. Chen} et al., Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 48, No. 3, 637--648 (2017; Zbl 1411.91491) Full Text: DOI
Zhang, Peng; Shu, Yanfei Mean-absolute deviation portfolio selection model based on credibility theories. (Chinese. English summary) Zbl 1389.91105 Fuzzy Syst. Math. 30, No. 6, 163-171 (2016). MSC: 91G10 90C70 PDF BibTeX XML Cite \textit{P. Zhang} and \textit{Y. Shu}, Fuzzy Syst. Math. 30, No. 6, 163--171 (2016; Zbl 1389.91105)
Yin, Mingqiang; Qian, Weiyi; Li, Wei Portfolio selection models based on cross-entropy of uncertain variables. (English) Zbl 1366.91149 J. Intell. Fuzzy Syst. 31, No. 2, 737-747 (2016). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Yin} et al., J. Intell. Fuzzy Syst. 31, No. 2, 737--747 (2016; Zbl 1366.91149) Full Text: DOI
Liu, Yong-Jun; Zhang, Wei-Guo; Wang, Jun-Bo Multi-period cardinality constrained portfolio selection models with interval coefficients. (English) Zbl 1406.91417 Ann. Oper. Res. 244, No. 2, 545-569 (2016). MSC: 91G10 PDF BibTeX XML Cite \textit{Y.-J. Liu} et al., Ann. Oper. Res. 244, No. 2, 545--569 (2016; Zbl 1406.91417) Full Text: DOI
Embrechts, Paul; Jakobsons, Edgars Dependence uncertainty for aggregate risk: examples and simple bounds. (English) Zbl 1356.91103 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 395-417 (2016). MSC: 91G70 62G32 62P05 PDF BibTeX XML Cite \textit{P. Embrechts} and \textit{E. Jakobsons}, in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 395--417 (2016; Zbl 1356.91103) Full Text: DOI
Zhang, Hongwei; Yu, Haisheng; Pang, Liping; Wang, Jinhe Solution to constrained optimization problem of second-order stochastic dominance by genetic algorithm. (Chinese. English summary) Zbl 1363.91098 J. Dalian Univ. Technol. 56, No. 3, 299-303 (2016). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{H. Zhang} et al., J. Dalian Univ. Technol. 56, No. 3, 299--303 (2016; Zbl 1363.91098) Full Text: DOI
Xu, Ciwen; Su, Xin; Jia, Xujie; Li, Zhongping Risk analysis of investment portfolio based on mixture copula. (Chinese. English summary) Zbl 1363.91095 Math. Pract. Theory 46, No. 5, 8-13 (2016). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{C. Xu} et al., Math. Pract. Theory 46, No. 5, 8--13 (2016; Zbl 1363.91095)
Ji, Ying; Goh, Mark; de Souza, Robert Proximal point algorithms for multi-criteria optimization with the difference of convex objective functions. (English) Zbl 1342.90175 J. Optim. Theory Appl. 169, No. 1, 280-289 (2016). MSC: 90C29 90C90 PDF BibTeX XML Cite \textit{Y. Ji} et al., J. Optim. Theory Appl. 169, No. 1, 280--289 (2016; Zbl 1342.90175) Full Text: DOI
Krzemienowski, Adam; Szymczyk, Sylwia Portfolio optimization with a copula-based extension of conditional value-at-risk. (English) Zbl 1341.91125 Ann. Oper. Res. 237, No. 1-2, 219-236 (2016). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{A. Krzemienowski} and \textit{S. Szymczyk}, Ann. Oper. Res. 237, No. 1--2, 219--236 (2016; Zbl 1341.91125) Full Text: DOI
Amadini, Roberto; Gabbrielli, Maurizio; Mauro, Jacopo Portfolio approaches for constraint optimization problems. (English) Zbl 1335.90077 Ann. Math. Artif. Intell. 76, No. 1-2, 229-246 (2016). MSC: 90C27 68T05 PDF BibTeX XML Cite \textit{R. Amadini} et al., Ann. Math. Artif. Intell. 76, No. 1--2, 229--246 (2016; Zbl 1335.90077) Full Text: DOI
Cauwet, Marie-Liesse; Liu, Jialin; Rozière, Baptiste; Teytaud, Olivier Algorithm portfolios for noisy optimization. (English) Zbl 1346.90763 Ann. Math. Artif. Intell. 76, No. 1-2, 143-172 (2016). Reviewer: Paulo Mbunga (Kiel) MSC: 90C30 PDF BibTeX XML Cite \textit{M.-L. Cauwet} et al., Ann. Math. Artif. Intell. 76, No. 1--2, 143--172 (2016; Zbl 1346.90763) Full Text: DOI
Bardou, O.; Frikha, N.; Pagès, G. CVaR hedging using quantization-based stochastic approximation algorithm. (English) Zbl 1331.91199 Math. Finance 26, No. 1, 184-229 (2016). MSC: 91G70 62L20 91G10 PDF BibTeX XML Cite \textit{O. Bardou} et al., Math. Finance 26, No. 1, 184--229 (2016; Zbl 1331.91199) Full Text: DOI
Chen, Wei Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem. (English) Zbl 1400.90323 Physica A 429, 125-139 (2015). MSC: 90C90 90C70 91G10 PDF BibTeX XML Cite \textit{W. Chen}, Physica A 429, 125--139 (2015; Zbl 1400.90323) Full Text: DOI
Bin Shalan, Sara A.; Ykhlef, Mourad Solving multi-objective portfolio optimization problem for Saudi Arabia stock market using hybrid clonal selection and particle swarm optimization. (English) Zbl 1390.90491 Arab. J. Sci. Eng. 40, No. 8, 2407-2421 (2015). MSC: 90C29 91G10 91G80 90C59 90C90 PDF BibTeX XML Cite \textit{S. A. Bin Shalan} and \textit{M. Ykhlef}, Arab. J. Sci. Eng. 40, No. 8, 2407--2421 (2015; Zbl 1390.90491) Full Text: DOI
Hoos, Holger; Kaminski, Roland; Lindauer, Marius; Schaub, Torsten aspeed: solver scheduling via answer set programming. (English) Zbl 1379.68283 Theory Pract. Log. Program. 15, No. 1, 117-142 (2015). MSC: 68T20 68N17 PDF BibTeX XML Cite \textit{H. Hoos} et al., Theory Pract. Log. Program. 15, No. 1, 117--142 (2015; Zbl 1379.68283) Full Text: DOI
Liu, Yong-Jun; Zhang, Wei-Guo A multi-period fuzzy portfolio optimization model with minimum transaction lots. (English) Zbl 1341.90151 Eur. J. Oper. Res. 242, No. 3, 933-941 (2015). MSC: 90C70 90C90 91G10 91G80 PDF BibTeX XML Cite \textit{Y.-J. Liu} and \textit{W.-G. Zhang}, Eur. J. Oper. Res. 242, No. 3, 933--941 (2015; Zbl 1341.90151) Full Text: DOI
Najafi, Amir Abbas; Mushakhian, Siamak Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs. (English) Zbl 1338.91133 Appl. Math. Comput. 256, 445-458 (2015). MSC: 91G10 90C29 90C90 PDF BibTeX XML Cite \textit{A. A. Najafi} and \textit{S. Mushakhian}, Appl. Math. Comput. 256, 445--458 (2015; Zbl 1338.91133) Full Text: DOI
Mustafa, Saima; Bano, Sumaira; Hanif, M.; Jamal, N. Reducing portfolio quadratic programming problem into regression problem: stepwise algorithm. (English) Zbl 1335.90064 J. Math., Punjab Univ. 47, No. 1, 127-134 (2015). MSC: 90C20 62J05 91G10 PDF BibTeX XML Cite \textit{S. Mustafa} et al., J. Math., Punjab Univ. 47, No. 1, 127--134 (2015; Zbl 1335.90064) Full Text: Link
Zhang, Bo; Peng, Jin; Li, Shengguo Uncertain programming models for portfolio selection with uncertain returns. (English) Zbl 1335.91073 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 46, No. 14, 2510-2519 (2015). MSC: 91G10 90C59 90C90 PDF BibTeX XML Cite \textit{B. Zhang} et al., Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 46, No. 14, 2510--2519 (2015; Zbl 1335.91073) Full Text: DOI
Çetinkaya, Elçin; Thiele, Aurélie Data-driven portfolio management with quantile constraints. (English) Zbl 1318.91177 OR Spectrum 37, No. 3, 761-786 (2015). MSC: 91G10 PDF BibTeX XML Cite \textit{E. Çetinkaya} and \textit{A. Thiele}, OR Spectrum 37, No. 3, 761--786 (2015; Zbl 1318.91177) Full Text: DOI
Boţ, Radu Ioan; Hendrich, Christopher Convex risk minimization via proximal splitting methods. (English) Zbl 1331.91157 Optim. Lett. 9, No. 5, 867-885 (2015). Reviewer: Răzvan Răducanu (Iaşi) MSC: 91G10 90C25 PDF BibTeX XML Cite \textit{R. I. Boţ} and \textit{C. Hendrich}, Optim. Lett. 9, No. 5, 867--885 (2015; Zbl 1331.91157) Full Text: DOI arXiv
Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; Mizuno, Shinji Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs. (English) Zbl 1356.91084 Comput. Manag. Sci. 12, No. 2, 319-340 (2015). MSC: 91G10 90C15 91G70 PDF BibTeX XML Cite \textit{Y. Takano} et al., Comput. Manag. Sci. 12, No. 2, 319--340 (2015; Zbl 1356.91084) Full Text: DOI
Samandar, Mahsa; Sinaei, Hasanali Applying a credibilistic mean-variance model in constructing portfolio of mutual funds. (Persian. English summary) Zbl 1413.91089 JAMM, J. Adv. Math. Model. 4, No. 2, 27-48 (2014). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Samandar} and \textit{H. Sinaei}, JAMM, J. Adv. Math. Model. 4, No. 2, 27--48 (2014; Zbl 1413.91089) Full Text: Link
Li, Li; Li, Jingpeng; Qin, Quande; Cheng, Shi Fuzzy chance-constrained project portfolio selection model based on credibility theory. (English) Zbl 1356.91082 Wen, Zhenkun (ed.) et al., Foundations of intelligent systems. Proceedings of the eighth international conference on intelligent systems and knowledge engineering, ISKE 2013, Shenzhen, China, November 20–23, 2013. 2 volume set. Berlin: Springer (ISBN 978-3-642-54923-6/pbk). Advances in Intelligent Systems and Computing 277, 731-743 (2014). MSC: 91G10 90C70 91G70 PDF BibTeX XML Cite \textit{L. Li} et al., Adv. Intell. Syst. Comput. 277, 731--743 (2014; Zbl 1356.91082) Full Text: DOI
Messelis, Tommy; De Causmaecker, Patrick An automatic algorithm selection approach for the multi-mode resource-constrained project scheduling problem. (English) Zbl 1339.90143 Eur. J. Oper. Res. 233, No. 3, 511-528 (2014). MSC: 90B35 90B50 90C27 90C59 90C25 PDF BibTeX XML Cite \textit{T. Messelis} and \textit{P. De Causmaecker}, Eur. J. Oper. Res. 233, No. 3, 511--528 (2014; Zbl 1339.90143) Full Text: DOI
Zhang, Wei-Guo; Liu, Yong-Jun; Xu, Wei-Jun A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control. (English) Zbl 1314.91202 Fuzzy Sets Syst. 246, 107-126 (2014). MSC: 91G10 90C70 PDF BibTeX XML Cite \textit{W.-G. Zhang} et al., Fuzzy Sets Syst. 246, 107--126 (2014; Zbl 1314.91202) Full Text: DOI
Stojadinović, Mirko; Marić, Filip meSAT: multiple encodings of CSP to SAT. (English) Zbl 1316.90049 Constraints 19, No. 4, 380-403 (2014). MSC: 90C30 90C11 PDF BibTeX XML Cite \textit{M. Stojadinović} and \textit{F. Marić}, Constraints 19, No. 4, 380--403 (2014; Zbl 1316.90049) Full Text: DOI
De Prado, Marcos López; Foreman, Matthew D. A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm. (English) Zbl 1308.91185 Quant. Finance 14, No. 5, 913-930 (2014). MSC: 91G60 91G10 62P05 91G80 92D15 PDF BibTeX XML Cite \textit{M. L. De Prado} and \textit{M. D. Foreman}, Quant. Finance 14, No. 5, 913--930 (2014; Zbl 1308.91185) Full Text: DOI
Li, Xiaojing; Zhao, Huasheng A study of selective neural network ensembles based on maximum variance portfolio. (Chinese. English summary) Zbl 1313.68200 J. Guangxi Univ. Nationalities, Nat. Sci. 20, No. 1, 70-74 (2014). MSC: 68T20 90C59 PDF BibTeX XML Cite \textit{X. Li} and \textit{H. Zhao}, J. Guangxi Univ. Nationalities, Nat. Sci. 20, No. 1, 70--74 (2014; Zbl 1313.68200)
Huang, Xiaoxia; Zhao, Tianyi Mean-chance model for portfolio selection based on uncertain measure. (English) Zbl 1306.91127 Insur. Math. Econ. 59, 243-250 (2014). MSC: 91G10 68T20 90C59 PDF BibTeX XML Cite \textit{X. Huang} and \textit{T. Zhao}, Insur. Math. Econ. 59, 243--250 (2014; Zbl 1306.91127) Full Text: DOI
Gotoh, Jun-ya; Fujisawa, Katsuki Convex optimization approaches to maximally predictable portfolio selection. (English) Zbl 1306.90117 Optimization 63, No. 11, 1713-1735 (2014). MSC: 90C22 90C26 90C32 90C90 91G10 PDF BibTeX XML Cite \textit{J.-y. Gotoh} and \textit{K. Fujisawa}, Optimization 63, No. 11, 1713--1735 (2014; Zbl 1306.90117) Full Text: DOI
Mittal, Garima; Mehlawat, Mukesh Kumar A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts. (English) Zbl 1305.91224 Optimization 63, No. 10, 1595-1613 (2014). MSC: 91G10 90C59 90C29 PDF BibTeX XML Cite \textit{G. Mittal} and \textit{M. K. Mehlawat}, Optimization 63, No. 10, 1595--1613 (2014; Zbl 1305.91224) Full Text: DOI
Duan, Xuefeng; Bai, Jianchao; Zhang, Maojun; Zhang, Xinjun On the generalized low rank approximation of the correlation matrices arising in the asset portfolio. (English) Zbl 1352.65128 Linear Algebra Appl. 461, 1-17 (2014). MSC: 65F30 15B99 91G10 91G60 PDF BibTeX XML Cite \textit{X. Duan} et al., Linear Algebra Appl. 461, 1--17 (2014; Zbl 1352.65128) Full Text: DOI
Zhang, Wei-Guo; Liu, Yong-Jun Credibilitic mean-variance model for multi-period portfolio selection problem with risk control. (English) Zbl 1290.91154 OR Spectrum 36, No. 1, 113-132 (2014). MSC: 91G10 90C59 PDF BibTeX XML Cite \textit{W.-G. Zhang} and \textit{Y.-J. Liu}, OR Spectrum 36, No. 1, 113--132 (2014; Zbl 1290.91154) Full Text: DOI
Rieder, Ulrich; Wittlinger, Marc On optimal terminal wealth problems with random trading times and drawdown constraints. (English) Zbl 1286.93207 Adv. Appl. Probab. 46, No. 1, 121-138 (2014). MSC: 93E20 60G51 90C40 91G10 91G80 PDF BibTeX XML Cite \textit{U. Rieder} and \textit{M. Wittlinger}, Adv. Appl. Probab. 46, No. 1, 121--138 (2014; Zbl 1286.93207) Full Text: DOI Euclid
Xu, Fengmin; Wang, Guan; Gao, Yuelin Nonconvex \(L_{1/2}\) regularization for sparse portfolio selection. (English) Zbl 1288.90066 Pac. J. Optim. 10, No. 1, 163-176 (2014). MSC: 90C26 91G10 90C90 PDF BibTeX XML Cite \textit{F. Xu} et al., Pac. J. Optim. 10, No. 1, 163--176 (2014; Zbl 1288.90066) Full Text: Link
Jimbo, H. C.; Craven, M. J.; Ngongo, S. I.; Suzuki, T. Optimizing investment stock portfolios with stochastic constraints. (English) Zbl 1440.91034 Akashi, Shigeo (ed.) et al., Proceedings of the seventh international conference on nonlinear analysis and convex analysis (NACA 2011), Busan, South Korea, August 2–5, 2011. Vol. I. Yokohama: Yokohama Publishers. 127-141 (2013). MSC: 91G10 PDF BibTeX XML Cite \textit{H. C. Jimbo} et al., in: Proceedings of the seventh international conference on nonlinear analysis and convex analysis (NACA 2011), Busan, South Korea, August 2--5, 2011. Vol. I. Yokohama: Yokohama Publishers. 127--141 (2013; Zbl 1440.91034) Full Text: Link
Yu, Tzu-Yi; Huang, Hsiao-Tzu Coupling a memetic algorithm to simulation models for promising multi-period asset allocations. (English) Zbl 1348.91264 Comput. Oper. Res. 40, No. 10, 2585-2597 (2013). MSC: 91G10 91G80 90C59 PDF BibTeX XML Cite \textit{T.-Y. Yu} and \textit{H.-T. Huang}, Comput. Oper. Res. 40, No. 10, 2585--2597 (2013; Zbl 1348.91264) Full Text: DOI
Barak, Sasan; Abessi, Masoud; Modarres, Mohammad Fuzzy turnover rate chance constraints portfolio model. (English) Zbl 1332.91114 Eur. J. Oper. Res. 228, No. 1, 141-147 (2013). MSC: 91G80 91G10 90C70 90C59 PDF BibTeX XML Cite \textit{S. Barak} et al., Eur. J. Oper. Res. 228, No. 1, 141--147 (2013; Zbl 1332.91114) Full Text: DOI
Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen Credit portfolio management using two-level particle swarm optimization. (English) Zbl 1321.91110 Inf. Sci. 237, 162-175 (2013). MSC: 91G10 91G40 90C59 PDF BibTeX XML Cite \textit{F.-Q. Lu} et al., Inf. Sci. 237, 162--175 (2013; Zbl 1321.91110) Full Text: DOI
Lejeune, Miguel A. Portfolio optimization with combinatorial and downside return constraints. (English) Zbl 1305.91222 Zuluaga, Luis F. (ed.) et al., Modeling and optimization. Theory and applications. Selected contributions from the MOPTA 2012 conference, Bethlehem, PA, USA, July 30 – August 1, 2012. New York, NY: Springer (ISBN 978-1-4614-8986-3/hbk; 978-1-4614-8987-0/ebook). Springer Proceedings in Mathematics & Statistics 62, 31-50 (2013). MSC: 91G10 90C15 91G70 PDF BibTeX XML Cite \textit{M. A. Lejeune}, in: Modeling and optimization. Theory and applications. Selected contributions from the MOPTA 2012 conference, Bethlehem, PA, USA, July 30 -- August 1, 2012. New York, NY: Springer. 31--50 (2013; Zbl 1305.91222) Full Text: DOI
Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. (English) Zbl 1296.91257 Comput. Manag. Sci. 10, No. 1, 21-49 (2013). MSC: 91G10 91G60 PDF BibTeX XML Cite \textit{A. Takeda} et al., Comput. Manag. Sci. 10, No. 1, 21--49 (2013; Zbl 1296.91257) Full Text: DOI
Fernandez, Eduardo; Lopez, Edy; Mazcorro, Gustavo; Olmedo, Rafael; Coello Coello, Carlos A. Application of the non-outranked sorting genetic algorithm to public project portfolio selection. (English) Zbl 1293.91172 Inf. Sci. 228, 131-149 (2013). MSC: 91G10 90C29 90C59 68T05 PDF BibTeX XML Cite \textit{E. Fernandez} et al., Inf. Sci. 228, 131--149 (2013; Zbl 1293.91172) Full Text: DOI
Gupta, Pankaj; Inuiguchi, Masahiro; Mehlawat, Mukesh Kumar; Mittal, Garima Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints. (English) Zbl 1293.91173 Inf. Sci. 229, 1-17 (2013). MSC: 91G10 90C29 90C70 68T05 PDF BibTeX XML Cite \textit{P. Gupta} et al., Inf. Sci. 229, 1--17 (2013; Zbl 1293.91173) Full Text: DOI
Liu, Yong-Jun; Zhang, Wei-Guo Fuzzy portfolio optimization model under real constraints. (English) Zbl 1290.91149 Insur. Math. Econ. 53, No. 3, 704-711 (2013). MSC: 91G10 90C29 PDF BibTeX XML Cite \textit{Y.-J. Liu} and \textit{W.-G. Zhang}, Insur. Math. Econ. 53, No. 3, 704--711 (2013; Zbl 1290.91149) Full Text: DOI
Gupta, Pankaj; Mittal, Garima; Mehlawat, Mukesh Kumar Expected value multiobjective portfolio rebalancing model with fuzzy parameters. (English) Zbl 1284.91519 Insur. Math. Econ. 52, No. 2, 190-203 (2013). MSC: 91G10 90C29 PDF BibTeX XML Cite \textit{P. Gupta} et al., Insur. Math. Econ. 52, No. 2, 190--203 (2013; Zbl 1284.91519) Full Text: DOI
Guo, Wen-Jing; Cai, Jun Portfolio optimization with uncertain exit time in infinite-time horizon. (English) Zbl 1292.91162 Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 673-684 (2013). MSC: 91G10 90C39 49L20 PDF BibTeX XML Cite \textit{W.-J. Guo} and \textit{J. Cai}, Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 673--684 (2013; Zbl 1292.91162) Full Text: DOI
Keykhaei, Reza; Jahandideh, Mohamad-Taghi Producing the tangency portfolio as a corner portfolio. (English) Zbl 1282.91304 RAIRO, Oper. Res. 47, No. 3, 311-320 (2013). MSC: 91G10 90C20 90C29 PDF BibTeX XML Cite \textit{R. Keykhaei} and \textit{M.-T. Jahandideh}, RAIRO, Oper. Res. 47, No. 3, 311--320 (2013; Zbl 1282.91304) Full Text: DOI
Gupta, Pankaj; Mittal, Garima; Mehlawat, Mukesh Kumar Multiobjective expected value model for portfolio selection in fuzzy environment. (English) Zbl 1287.90060 Optim. Lett. 7, No. 8, 1765-1791 (2013). MSC: 90C29 90C70 91G10 PDF BibTeX XML Cite \textit{P. Gupta} et al., Optim. Lett. 7, No. 8, 1765--1791 (2013; Zbl 1287.90060) Full Text: DOI
He, Guang Particle swarm optimization algorithm and its applications in stock market. (English) Zbl 1277.90153 Univers. J. Math. Math. Sci. 3, No. 2, 165-174 (2013). MSC: 90C59 91G80 PDF BibTeX XML Cite \textit{G. He}, Univers. J. Math. Math. Sci. 3, No. 2, 165--174 (2013; Zbl 1277.90153) Full Text: Link
Bonnans, J. Frédéric; Tan, Xiaolu A model-free no-arbitrage price bound for variance options. (English) Zbl 1272.93135 Appl. Math. Optim. 68, No. 1, 43-73 (2013). MSC: 93E25 91G10 90C15 PDF BibTeX XML Cite \textit{J. Bonnans} and \textit{X. Tan}, Appl. Math. Optim. 68, No. 1, 43--73 (2013; Zbl 1272.93135) Full Text: DOI
Tavana, Madjid; Khalili-Damghani, Kaveh; Abtahi, Amir-Reza A fuzzy multidimensional multiple-choice knapsack model for project portfolio selection using an evolutionary algorithm. (English) Zbl 1271.91096 Ann. Oper. Res. 206, 449-483 (2013). MSC: 91G10 90C27 90C70 PDF BibTeX XML Cite \textit{M. Tavana} et al., Ann. Oper. Res. 206, 449--483 (2013; Zbl 1271.91096) Full Text: DOI