Elasticity approach to portfolio optimization
β Scribed by Holger Kraft
- Publisher
- Springer
- Year
- 2003
- Tongue
- English
- Weight
- 396 KB
- Volume
- 58
- Category
- Article
- ISSN
- 0340-9422
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The topic of this paper is as, the title shows, to introduce the formulation of fuzzy portfolio optimization problem as a convex quadratic programming approach and then give an acceptable solution to such problem. A numerical example included in the support of this paper for illustration.
In this paper, we present a realistic portfolio optimization problem which takes into account real characteristics of the portfolio which are disregarded in most optimization models. These are di!erent transaction costs, minimum transaction units and investor's current portfolio holding. In order to