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Multi-objective possibilistic model for portfolio selection with transaction cost

✍ Scribed by P. Jana; T.K. Roy; S.K. Mazumder

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
508 KB
Volume
228
Category
Article
ISSN
0377-0427

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✦ Synopsis

In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.

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