A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2003-06-18

AUTHORS

Yong Fang , K. K. Lai , Shou-Yang Wang

ABSTRACT

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. More... »

PAGES

10-19

References to SciGraph publications

  • 2001. Fuzzy Portfolio Model for Decision Making in Investment in DYNAMICAL ASPECTS IN FUZZY DECISION MAKING
  • Book

    TITLE

    Computational Science — ICCS 2003

    ISBN

    978-3-540-40195-7
    978-3-540-44862-4

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/3-540-44862-4_2

    DOI

    http://dx.doi.org/10.1007/3-540-44862-4_2

    DIMENSIONS

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