Authors: Fulga, Cristinca
Stanojević, Bogdana 
Title: Single period portfolio optimization with fuzzy transaction costs
Journal: 20th International Conference EURO Mini Conference "Continuous Optimization and Knowledge-Based Technologies", EurOPT 2008
First page: 125
Last page: 130
Conference: 20th International Conference EURO Mini Conference: Continuous Optimization and Knowledge-Based Technologies, EurOPT 2008; Neringa; Lithuania; 20 May 2008 through 23 May 2008
Issue Date: 1-Jan-2008
Rank: M33
ISBN: 978-9-955-28283-9
This paper is concerned with the single period portfolio that consists of holdings in n risky assets. The goal is to choose the optimal portfolio to maximize the expected value of the end of period wealth in the presence of transaction costs, while satisfying a set of constraints on the portfolio. The case of a portfolio optimization problem with fuzzy transaction costs is considered. Computational results, which facilitate comparison between the proposed models, are presented. 2008
Keywords: Fuzzy portfolio selection model | Portfolio optimization | Transaction costs
Publisher: Vilnius Gediminas Technical University

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