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An extension of the Markowitz portfolio selection model to include variable transaction costs, short sales, leverage policies and taxes. Pogue G A. The Journal of Finance . 1970
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Decision making in a fuzzy environment. Bellman R,Zadeh L A. Management Science . 1970
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Portfolio Selection: Efficient Diversification of Investments. Markowitz H. . 1959
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A linear programming algorithm for optimal portfolio selection with transaction costs. Zhongfei L,Shouyang W,Xiaotie D. International Journal of Systems Science . 2000
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Exponential possibility regression analysis. Tanaka H,Ishibuchi H,Yoshikawa S. Fuzzy Sets and Systems . 1995
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Mean-variance deviation portfolio optimization model and its applications to tokyo stock market. Konno H,Yamazaki H. Management Science . 1991
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The mean-variance approach to portfolio optimization subject to transaction costs. Yoshimoto A. Journal of the Operational Research Society of Japan . 1996
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The optimal number of securities in a risky asset portfolio when there are fixed costs of transaction:theory and some empirical results. Brennan M J. The Journal of Finance . 1975
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The measurement and control of trading costs. Arnott R D,Wagner W H. Financial Analysts Journal . 1990