Portfolio adjusting optimization under credibility measures

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:234

Article

Zhang, Xili¹  Zhang, Wei-Guo¹  Cai, Ruichu² 

[1] S China Univ Technol, Sch Business Adm, Guangzhou 510641, Peoples R China

[2] S China Univ Technol, Sch Engn & Comp Sci, Guangzhou 510641, Peoples R China

关键词: Portfolio adjusting;    Possibility theory;    Credibility measure;    Transaction costs;    Sequential quadratic programming method;   

DOI  :  10.1016/j.cam.2010.02.022

来源: Elsevier

【 摘 要 】

This paper discusses portfolio adjusting problems for an existing portfolio. The returns of risky assets are regarded as fuzzy variables and a class of credibilistic mean-variance adjusting models with transaction costs are proposed on the basis of credibility theory. Under the assumption that the returns of risky assets are triangular fuzzy variables, the optimization models are converted into crisp forms. Furthermore, we employ the sequential quadratic programming method to work out the optimal strategy. Numerical examples illustrate the effectiveness of the proposed models and the influence of the transaction costs in portfolio selection. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free