Portfolio rebalancing model with transaction costs based on fuzzy decision theory

European Journal of Operational Research

Volumn 175, Issue 2, 2006, Pages 879-893

  Fang, Yong ^a   Lai, K K ^b,c   Wang, Shou Yang ^a  

^a INSTITUTE OF SYSTEMS SCIENCE   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c HUNAN UNIVERSITY   (China)

Author keywords

Fuzzy decision; Fuzzy set; Portfolio rebalancing; Transaction costs

Indexed keywords

COSTS; DECISION THEORY; LINEAR PROGRAMMING; MATHEMATICAL MODELS; NUMBER THEORY; OPERATIONS RESEARCH;

FUZZY DECISION; FUZZY NUMBERS; PORTFOLIO REBALANCING; TRANSACTION COSTS;

FUZZY SETS;

EID: 33748419820     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2005.05.020     Document Type: Article

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