Portfolio rebalancing model with transaction costs using interval optimization

被引：9
|
作者：
Kumar P. [1 ]
Panda G. [1 ]
Gupta U.C. [1 ]
机构：
[1] Department of Mathematics, Indian Institute of Technology, Kharagpur
来源：
OPSEARCH | 2015年 / 52卷 / 4期
关键词：
Closed Interval; Optimization; Portfolio selection; Rebalancing; Transaction cost;
D O I：
10.1007/s12597-015-0210-0
中图分类号：
学科分类号：
摘要：
In this paper, we discuss portfolio rebalancing model wherein some parameters like expected return, risk, transaction cost etc., of the objective function and constraints lie in intervals. A methodology has been proposed to find an efficient portfolio in this scenario. Further, the proposed methodology is illustrated in a numerical example with the hypothetical data to show the applicability of the results. © 2015, Operational Research Society of India.
引用
收藏
页码：827 / 860
页数：33
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