A fuzzy approach to portfolio rebalancing with transaction costs

被引：0
|
作者：
Fang, Y
Lai, KK [1 ]
Wang, SY
机构：
[1] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
[2] Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China
来源：
COMPUTATIONAL SCIENCE - ICCS 2003, PT II, PROCEEDINGS | 2003年 / 2658卷
关键词：
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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.
引用
收藏
页码：10 / 19
页数：10
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