Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641116 | Journal of Computational and Applied Mathematics | 2009 | 9 Pages |
Abstract
In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
P. Jana, T.K. Roy, S.K. Mazumder,