A compromise solution to mutual funds portfolio selection with transaction costs.

Yusen Xia Shouyang Wang Xiaotie Deng

Published in: Eur. J. Oper. Res. (2001)

Keyphrases

portfolio selection
transaction costs
multistage stochastic
robust optimization
portfolio management
portfolio optimization
financial markets
search costs
multiple objectives
optimal solution
long term
multi objective
knowledge discovery