Fuzzy hidden Markov-switching portfolio selection with capital gain tax

Keyphrases

• Risky Assets 100%
• Portfolio Optimization 100%
• Transaction Costs 100%
• Markov Switching 100%
• Particle Swarm Optimization Algorithm 100%
• Capital Gains Tax 100%
• Holding Period 100%
• Hidden Markov 100%
• Numerical Integral 100%
• Fuzzy Portfolio Selection 100%
• Investment Horizon 50%
• Copyright 50%
• Mathematical Properties 50%
• Efficient Frontier 50%
• Traditional Paradigm 50%
• Model Features 50%
• Numerical Experiments 50%
• Regime Switching 50%
• Switching Properties 50%
• Long-term Investment 50%
• Mean-variance Model 50%
• Markov Regime Switching Market 50%
• Model Uncertain 50%
• LR Fuzzy number 50%
• Exit Time 50%
• Market States 50%
• Tax Rate 50%
• Pareto Dominance 50%
• Uncertain Return 50%
• Bi-objective 50%
• Fuzzy Random Variable 50%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Capital Gains Tax 100%
• Transaction Costs 66%
• Regime Switching 66%
• Tax Rate 33%