A fuzzy approach to portfolio rebalancing with transaction costs

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	A fuzzy approach to portfolio rebalancing with transaction costs
	Fang, Y; Lai, KK ; Wang, SY
	2003
发表期刊	COMPUTATIONAL SCIENCE - ICCS 2003, PT II, PROCEEDINGS
ISSN	0302-9743
卷号	2658 页码:10-19
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.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Computer Science, Theory & Methods
WOS记录号	WOS:000184831800002
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18921
专题	系统科学研究所
通讯作者	Lai, KK
作者单位	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
推荐引用方式 GB/T 7714	Fang, Y,Lai, KK,Wang, SY. A fuzzy approach to portfolio rebalancing with transaction costs[J]. COMPUTATIONAL SCIENCE - ICCS 2003, PT II, PROCEEDINGS,2003,2658:10-19.
APA	Fang, Y,Lai, KK,&Wang, SY.(2003).A fuzzy approach to portfolio rebalancing with transaction costs.COMPUTATIONAL SCIENCE - ICCS 2003, PT II, PROCEEDINGS,2658,10-19.
MLA	Fang, Y,et al."A fuzzy approach to portfolio rebalancing with transaction costs".COMPUTATIONAL SCIENCE - ICCS 2003, PT II, PROCEEDINGS 2658(2003):10-19.