A fuzzy approach to portfolio rebalancing with transaction costs

Yong Fang; K. K. Lai; Shou-Yang Wang

doi:10.1007/3-540-44862-4_2

A fuzzy approach to portfolio rebalancing with transaction costs

Yong Fang
, K. K. Lai
, Shou-Yang Wang

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

5 Citations (Scopus)

Abstract

The fuzzy set is a powerful tool used to describe an uncertain financial environment in which not only the financial markets but also the financial managers' decisions are subject to vagueness, ambiguity or some other kind of fuzziness. Based on fuzzy decision theory, two portfolio rebalancing models with transaction costs are proposed. An example is given to illustrate that the two linear programming models based on fuzzy decisions can be used efficiently to solve portfolio rebalancing problems by using real data from the Shanghai Stock Exchange. © Springer-Verlag Berlin Heidelberg 2003.

Original language	English
Pages (from-to)	10-19
Journal	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	2658
DOIs	https://doi.org/10.1007/3-540-44862-4_2
Publication status	Published - 2003

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title = "A fuzzy approach to portfolio rebalancing with transaction costs",

abstract = "The fuzzy set is a powerful tool used to describe an uncertain financial environment in which not only the financial markets but also the financial managers' decisions are subject to vagueness, ambiguity or some other kind of fuzziness. Based on fuzzy decision theory, two portfolio rebalancing models with transaction costs are proposed. An example is given to illustrate that the two linear programming models based on fuzzy decisions can be used efficiently to solve portfolio rebalancing problems by using real data from the Shanghai Stock Exchange. {\textcopyright} Springer-Verlag Berlin Heidelberg 2003.",

author = "Yong Fang and Lai, \{K. K.\} and Shou-Yang Wang",

year = "2003",

doi = "10.1007/3-540-44862-4\_2",

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volume = "2658",

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A fuzzy approach to portfolio rebalancing with transaction costs. / Fang, Yong; Lai, K. K.; Wang, Shou-Yang.
In: Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), Vol. 2658, 2003, p. 10-19.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

TY - JOUR

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AU - Fang, Yong

AU - Lai, K. K.

AU - Wang, Shou-Yang

PY - 2003

Y1 - 2003

N2 - The fuzzy set is a powerful tool used to describe an uncertain financial environment in which not only the financial markets but also the financial managers' decisions are subject to vagueness, ambiguity or some other kind of fuzziness. Based on fuzzy decision theory, two portfolio rebalancing models with transaction costs are proposed. An example is given to illustrate that the two linear programming models based on fuzzy decisions can be used efficiently to solve portfolio rebalancing problems by using real data from the Shanghai Stock Exchange. © Springer-Verlag Berlin Heidelberg 2003.

AB - The fuzzy set is a powerful tool used to describe an uncertain financial environment in which not only the financial markets but also the financial managers' decisions are subject to vagueness, ambiguity or some other kind of fuzziness. Based on fuzzy decision theory, two portfolio rebalancing models with transaction costs are proposed. An example is given to illustrate that the two linear programming models based on fuzzy decisions can be used efficiently to solve portfolio rebalancing problems by using real data from the Shanghai Stock Exchange. © Springer-Verlag Berlin Heidelberg 2003.

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DO - 10.1007/3-540-44862-4_2

M3 - RGC 21 - Publication in refereed journal

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SP - 10

EP - 19

JO - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

JF - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

ER -

A fuzzy approach to portfolio rebalancing with transaction costs

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