Journal of Engineering and Applied Sciences

Year: 2018
Volume: 13
Issue: 13
Page No. 5004 - 5008

Portfolio Selection Optimization Which Involves Minimum Transaction Lot and Transaction Cost Using Rank Dependent Expected Utility

Authors : Pasrun Adam and La Gubu

References

Adam, P. and L. Gubu, 2017. The portfolio standard risk model based on rank dependent expected utility model with quadratic utility function. Global J. Pure Appl. Math., 13: 3801-3810.
Direct Link  |  

Bahaji, H. and J.F. Casta, 2016. Employee stock option-implied risk attitude under rank-dependent expected utility. Econ. Modell., 52: 144-154.
Direct Link  |  

Bain, L.J. and M. Engelhard, 1992. Introduction to Probability and Mathematical Statistics. 2nd Edn., Brooks-Cole, Grove, California, ISBN:9780534380205, Pages: 644.

Barrachina, A., G. Rubio and A. Urbano, 2012. Multiplicity in financial equilibrium with portfolio constrains under the generalized logarithmic utility model. Spanish Rev. Financial Econ., 10: 41-52.
Direct Link  |  

Cenci, M. and F. Filippini, 2006. Portfolio selection: A linear approach with dual expected utility. Appl. Math. Comput., 179: 523-534.
Direct Link  |  

Gao, Y., B. Wang, X. Quan and J. Zhou, 2010. A new multi-objective portfolio optimization model based on dual expected utility. Proceedings of the IEEE 5th International Conference on Bio-Inspired Computing: Theories and Applications (BIC-TA’10), September 23-26, 2010, IEEE, Changsha, China, ISBN:978-1-4244-6437-1, pp: 793-798.

Gao, Y., Y. Sun and Y. Li, 2009. Mean-CVaR portfolio optimization problem under concave transaction costs and minimal transaction unit constraints. Proceedings of the 2nd International Conference on Information and Computing Science (ICIC'09) Vol. 1, May 21-22, 2009, IEEE, Manchester, England, UK., ISBN:978-0-7695-3634-7, pp: 79-82.

Koo, J.L., S.R. Ahn, B.L. Koo, H.K. Koo and Y.H. Shin, 2016. Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint. Stochastic Anal. Appl., 34: 165-177.
Direct Link  |  

Lin, D., X. Liand and M. Li, 2005. A Genetic Algorithm for Solving Portfolio Optimization Problems with Transaction Costs and Minimum Transaction Lots. In: Advances in Natural Computation ICNC, Wang L., K. Chen and Y.S. Ong (Eds.). Springer, Berlin, Germany, ISBN:978-3-540-28320-1, pp: 808-811.

Mansini, R., W. Ogryczak and M.G. Speranca, 2015. Linear and Mixed Integer Programming for Portfolio Optimization. Springer, Berlin, Germany, ISBN:978-3-319-18481-4, Pages: 115.

Quiggin, J., 1982. A theory of anticipated utility. J. Econ. Behav. Organiz., 3: 323-343.
Direct Link  |  

Quiggin, J., 1993. Generalized Expected Utility Theory the Rank Dependent Model. Springer, Berlin, Germany,.

Rahadi, A.P., N.A. Rizal and B.A. Surya, 2015. Execute trading policies on optimal portfolio when stochastic volatility and inflation effect were considered. J. Eng. Appl. Sci., 11: 1706-1713.
Direct Link  |  

Sims, T.S., 2015. Income taxation, wealth effects and uncertainty: Portfolio adjustments with isoelastic utility and discrete probability. Econ. Lett., 135: 52-54.
Direct Link  |  

Xuan, L. and Y. Hu, 2011. The portfolio investment decisions about logarithmic utility. Proceedings of the International Conference on Multimedia Technology (ICMT), July 26-28, 2011, IEEE, Hangzhou, China, ISBN:978-1-61284-771-9, pp: 3746-3749.

Xue, H.G., C.X. Xu and Z.X. Feng, 2006. Mean-variance portfolio optimal problem under concave transaction cost. Appl. Math. Comput., 174: 1-12.
Direct Link  |  

Design and power by Medwell Web Development Team. © Medwell Publishing 2024 All Rights Reserved