Multi-objective possibilistic model for portfolio selection with transaction cost

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:228

Article

Jana, P.¹  Roy, T. K.²  Mazumder, S. K.² 

[1] Scottish Church Coll, Dept Math, Kolkata 700006, W Bengal, India

[2] Bengal Engn & Sci Univ, Dept Math, Howrah 711103, India

关键词: Possibility Theory;    Portfolio Rebalancing;    Entropy;    Multi-objective problem;    Transaction cost;   

DOI  :  10.1016/j.cam.2008.09.008

来源: Elsevier

【 摘 要 】

In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples. (c) 2008 Elsevier B.V. All rights reserved.

【 授权许可】

Free