کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
482234 | 1446211 | 2006 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Portfolio rebalancing model with transaction costs based on fuzzy decision theory
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The fuzzy set is one of the powerful tools used to describe an uncertain environment. As well as quantifying any potential return and risk, portfolio liquidity is taken into account and a linear programming model for portfolio rebalancing with transaction costs is proposed. The level of return that an investor might aspire to, the risk and the liquidity of portfolio are vague in an uncertain financial environment. Considering them as fuzzy numbers, we propose a portfolio rebalancing model with transaction costs based on fuzzy decision theory. An example is given to illustrate the behavior of the proposed model using real data from the Shanghai Stock Exchange.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 175, Issue 2, 1 December 2006, Pages 879–893
Journal: European Journal of Operational Research - Volume 175, Issue 2, 1 December 2006, Pages 879–893
نویسندگان
Yong Fang, K.K. Lai, Shou-Yang Wang,