Fuzzy hidden Markov-switching portfolio selection with capital gain tax.

Sini Guo Wai-Ki Ching Wai-Keung Li Tak Kuen Siu Zhiwen Zhang

Published in: Expert Syst. Appl. (2020)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
financial markets
fuzzy sets
robust optimization
portfolio management
fuzzy numbers
data mining
dynamic programming
management system
genetic programming
theoretical framework
multiple objectives
transaction costs