Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has
been widely used in both theoretical and empirical studies, which maximizes the investment …

The theory of Markov decision processes focuses on controlled Markov chains in discrete
time. The authors establish the theory for general state and action spaces and at the same …

This paper deals with a multi-period portfolio selection problem with fuzzy returns. A
possibilistic mean-semivariance-entropy model for multi-period portfolio selection is …

Portfolio management has long been one of the most significant challenges in large-and
small-scale investments alike. The primary objective of portfolio management is to make …

The complexity of financial markets leads to different types of indeterminate asset returns.
For example, asset returns are considered as random variables, when the available data is …

This paper deals with fuzzy multi-objective multi-period portfolio selection problems. The
major criteria used for portfolio selection and rebalancing are wealth, risk, transaction cost …

This paper examines the multi-period portfolio optimization problem with transaction costs
and fuzzy variables to count for the uncertainty of future returns and liquidities on assets. The …

Asset and liability (AL) management under the mean–variance criteria refers to an
optimization problem that maximizes the expected final surplus subject to a given variance …

In this paper, we consider a multi-period fuzzy portfolio optimization problem with minimum
transaction lots. Based on possibility theory, we formulate a mean-semivariance portfolio …

We consider in this paper the mean–variance formulation in multi-period portfolio selection
under no-shorting constraint. Recognizing the structure of a piecewise quadratic value …