Modeling Transaction Costs and Skewness in Portfolio: Application of Fuzzy Approach

被引：0

作者：

Yu, Jing-Rung ^{[1
]}

Chiou, Wan-Jiun Paul ^{[2
]}

Chang, Wei-Yuan ^{[1
]}

Lee, Wen-Yi ^{[3
]}

机构：

[1] Natl Chi Nan Univ, Dept Informat Management, Nantou, Taiwan

[2] Cent Michigan Univ, Dept Finance & law, Mt Pleasant, MI USA

[3] National Chiao Tung, Dept Technol Management, Hsinchu, Taiwan

来源：

2013 INTERNATIONAL CONFERENCE ON FUZZY THEORY AND ITS APPLICATIONS (IFUZZY 2013) | 2013年

关键词：

Skewness; Fuzzy theory; Portfolio selection; Short selling; Transaction cost; REBALANCING MODEL; SELECTION MODEL; RISK; OPTIMIZATION; EQUITY;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

How to deal with errors in estimating return and trading costs is a critical issue in portfolio management. In this paper, we investigate the over-time rebalancing benefits of the portfolio models that consider mean, variance, skewness, allowing short-sale, and transaction costs by incorporating fuzzy decision making. We apply multiple criterion method to deal with the complexity of various objectives. Our empirical results using 144 stocks in Taiwan Stock Exchange confirm the benefits of fuzzy decision making with inclusion of higher moment risk, skewness, in portfolio model, particularly when short-sale is allowed.

引用

页码：397 / 401

页数：5

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