Portfolio Selection Model with Transaction Costs Based on Fuzzy Information

摘要：

In securities markets,the expected rates of security returns are difficult to estimate precisely due to many uncertainties.In this paper,the author deals with the returns on securities in fuzzy terms.We use fuzzy number to deal with the uncertainty.Considering the three factors (return,risk and liquidity),we obtain a portfolio selection model based on the weighted possibilistic mean and variance of fuzzy numbers.A numerical example of a portfolio selection problem is given to illustrate our proposed approaches.

关键词： fuzzy set portfolio selection weighted possibilistic mean risk analysis fuzzy mathematical programming liquidity

作者: Ying-yu He

作者单位: Department of Mathematics,Zhejiang University.Hangzhou,China 310028 Department of Mathematics.Hanazhou Normal University,Hanezhou China 310012

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 148-152

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）