Multi-objective possibilistic model for portfolio selection with transaction cost

被引：74
|
作者：
Jana, P. [1 ]
Roy, T. K. [2 ]
Mazumder, S. K. [2 ]
机构：
[1] Scottish Church Coll, Dept Math, Kolkata 700006, W Bengal, India
[2] Bengal Engn & Sci Univ, Dept Math, Howrah 711103, India
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2009年 / 228卷 / 01期
关键词：
Possibility Theory; Portfolio Rebalancing; Entropy; Multi-objective problem; Transaction cost;
D O I：
10.1016/j.cam.2008.09.008
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples. (c) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：188 / 196
页数：9
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