Portfolio rebalancing model with transaction costs based on fuzzy decision theory

被引：110
|
作者：
Fang, Yong
Lai, K. K.
Wang, Shou-Yang
机构：
[1] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
[2] Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
[3] Hunan Univ, Coll Business Adm, Changsha, Peoples R China
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2006年 / 175卷 / 02期
基金：
中国国家自然科学基金;
关键词：
portfolio rebalancing; fuzzy set; fuzzy decision; transaction costs;
D O I：
10.1016/j.ejor.2005.05.020
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：879 / 893
页数：15
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