Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
482234 | European Journal of Operational Research | 2006 | 15 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Yong Fang, K.K. Lai, Shou-Yang Wang,