Fuzzy Portfolio Model with Transaction Cost Based on Downside Risk Measure

被引：0
|
作者：
Xu, Ruo-ning [2 ]
Zhai, Xiao-yan [1 ]
机构：
[1] Guangdong Univ Foreign Studies, Sch Management, Guangzhou 510420, Guangdong, Peoples R China
[2] Guangzhou Univ, Sch Math & Informat Sci, Guangzhou 510006, Guangdong, Peoples R China
来源：
FUZZY INFORMATION AND ENGINEERING 2010, VOL 1 | 2010年 / 78卷
关键词：
Portfolio selection; Downside risk measure; Transaction cost; Fuzzy number; POSSIBILITY DISTRIBUTIONS; SELECTION PROBLEM;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper the problem of portfolio selection with transaction cost based on downside risk measure is discussed. Left-right-type fuzzy number is used to describe the expected return rate of security, and transaction cost and diversification condition are incorporated into the process of portfolio selection. We evaluate the expected return and risk by interval-valued mean, regard the downside risk as the portfolio risk, and formulate the portfolio selection problem as a linear programming Finally, a numerical example is presented to illustrate the efficiency of the proposed model.
引用
收藏
页码：377 / +
页数：3
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