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A multicriteria optimization model of portfolio rebalancing with transaction costs in fuzzy environment

✍ Scribed by Gupta, Pankaj; Mittal, Garima; Mehlawat, Mukesh Kumar

Book ID
120433927
Publisher
Springer-Verlag
Year
2012
Tongue
English
Weight
675 KB
Volume
6
Category
Article
ISSN
1865-9284

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## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield