Portfolio rebalancing model with transaction costs based on fuzzy decision theory
文献类型：期刊论文
| 作者 | Fang, Yong ; Lai, K. K.; Wang, Shou-Yang
|
| 刊名 | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
 |
| 出版日期 | 2006-12-01 |
| 卷号 | 175期号:2页码:879-893 |
| 关键词 | portfolio rebalancing fuzzy set fuzzy decision transaction costs |
| ISSN号 | 0377-2217 |
| DOI | 10.1016/j.ejor.2005.05.020 |
| 英文摘要 | 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. |
| WOS研究方向 | Business & Economics ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000241063500015 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2854]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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