Portfolio rebalancing model with transaction costs based on fuzzy decision theory

doi:10.1016/j.ejor.2005.05.020

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	Portfolio rebalancing model with transaction costs based on fuzzy decision theory
	Fang, Yong; Lai, K. K.; Wang, Shou-Yang
	2006-12-01
发表期刊	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
ISSN	0377-2217
卷号	175 期号:2 页码:879-893
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.
关键词	portfolio rebalancing fuzzy set fuzzy decision transaction costs
DOI	10.1016/j.ejor.2005.05.020
语种	英语
WOS研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000241063500015
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2855
专题	系统科学研究所
通讯作者	Lai, K. K.
作者单位	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
推荐引用方式 GB/T 7714	Fang, Yong,Lai, K. K.,Wang, Shou-Yang. Portfolio rebalancing model with transaction costs based on fuzzy decision theory[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2006,175(2):879-893.
APA	Fang, Yong,Lai, K. K.,&Wang, Shou-Yang.(2006).Portfolio rebalancing model with transaction costs based on fuzzy decision theory.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,175(2),879-893.
MLA	Fang, Yong,et al."Portfolio rebalancing model with transaction costs based on fuzzy decision theory".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 175.2(2006):879-893.