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 journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 879-893 |
| Journal / Publication | European Journal of Operational Research |
| Volume | 175 |
| Issue number | 2 |
| Publication status | Published - 1 Dec 2006 |
Link(s)
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 journal › peer-review
