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Mean-variance models for portfolio selection with fuzzy random returns

✍ Scribed by Fang-Fang Hao; Yan-Kui Liu

Book ID
107619799
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
859 KB
Volume
30
Category
Article
ISSN
1598-5865

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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