A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs

机译：具有交易成本的投资组合再平衡的模糊方法

获取原文

获取原文并翻译 | 示例

页面导航

摘要
著录项
相似文献
相关主题

摘要

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.

机译：模糊集是用于描述不确定的金融环境的强大工具，在该环境中，不仅金融市场而且财务经理的决策都容易受到含糊，模糊或其他某种模糊性的影响。基于模糊决策理论，提出了两种具有交易成本的资产组合再平衡模型。给出了一个例子来说明，基于模糊决策的两个线性规划模型可以通过使用来自上海证券交易所的真实数据有效地解决投资组合的再平衡问题。

著录项

来源
《International Conference on Computational Science - ICCA 2003 Pt.2 Jun 2-4, 2003 Melbourne, Australia and St. Petersburg, Russia》|2003年|p.10-19|共10页
会议地点 Melbourne(AU) St. Petersburg(RU);Melbourne(AU) St. Petersburg(RU)
作者
Yong Fang; K.K. Lai; Shou-Yang Wang;
展开▼
作者单位

Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100080, China;

展开▼
会议组织
原文格式 PDF
正文语种 eng
中图分类自动化技术、计算机技术;
关键词

相似文献

外文文献
中文文献
专利

1. A multicriteria optimization model of portfolio rebalancing with transaction costs in fuzzy environment [J] . Pankaj Gupta, Garima Mittal, Mukesh Kumar Mehlawat Memetic computing . 2014,第1期

机译：模糊环境下具有交易成本的资产组合再平衡的多准则优化模型
2. Portfolio rebalancing model with transaction costs based on fuzzy decision theory [J] . Fang Y, Lai KK, Wang SY European Journal of Operational Research . 2006,第2期

机译：基于模糊决策理论的交易成本资产组合再平衡模型
3. Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs [J] . Mitchell J.E., Braun S. Optimization methods & software . 2013,第1a3期

机译：在存在包括市场影响成本在内的凸笔交易成本的情况下重新平衡投资组合
4. A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs [C] . International conference on computational science . 2003

机译：交易成本的投资组合重新平衡的模糊方法
5. Rebalancing Portfolios under Transaction Costs. [D] . Sau, Raj. 2012

机译：在交易成本下重新平衡投资组合。
6. The Impact of the Prospective Payment System for Skilled Nursing Facilities on Therapy Service Provision: A Transaction Cost Approach [O] . Jacqueline S Zinn, Vincent Mor, Orna Intrator, 2003

机译：熟练护理设施的预期报酬系统对治疗服务提供的影响：交易成本法
7. A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs [O] . Yong Fang, K. K. Lai, Shou-Yang Wang 2003

机译：交易成本的投资组合重新平衡的模糊方法

A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs

摘要

著录项

相似文献

相关主题

期刊订阅