| 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 | Abstract: | 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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