Portfolio rebalancing model with transaction costs based on fuzzy decision theory

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

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

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)879-893
Journal / PublicationEuropean Journal of Operational Research
Volume175
Issue number2
Publication statusPublished - 1 Dec 2006

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. © 2005 Elsevier B.V. All rights reserved.

Research Area(s)

  • Fuzzy decision, Fuzzy set, Portfolio rebalancing, Transaction costs

Citation Format(s)

Portfolio rebalancing model with transaction costs based on fuzzy decision theory. / Fang, Yong; Lai, K. K.; Wang, Shou-Yang.

In: European Journal of Operational Research, Vol. 175, No. 2, 01.12.2006, p. 879-893.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review