Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs
المؤلفون المشاركون
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2015، العدد 2015 (31 ديسمبر/كانون الأول 2015)، ص ص. 1-12، 12ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2015-10-18
دولة النشر
مصر
عدد الصفحات
12
التخصصات الرئيسية
الملخص EN
This paper studies a two-period portfolio selection problem.
The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions.
The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth.
Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the second-stage programming problem is derived.
As a result, the proposed two-stage model is equivalent to a single-stage model, and the analytical optimal solution of the two-stage model is obtained, which helps us to discuss the properties of the optimal solution.
Finally, some numerical experiments are performed to demonstrate the new modeling idea and the effectiveness.
The computational results provided by the proposed model show that the more risk-averse investor will invest more wealth in the risk-free security.
They also show that the optimal invested amount in risky security increases as the risk-free return decreases and the optimal utility increases as the risk-free return increases, whereas the optimal utility increases as the transaction costs decrease.
In most instances the utilities provided by the proposed two-stage model are larger than those provided by the single-stage model.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Chen, Yanju& Wang, Ye. 2015. Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1074429
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Chen, Yanju& Wang, Ye. Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs. Mathematical Problems in Engineering No. 2015 (2015), pp.1-12.
https://search.emarefa.net/detail/BIM-1074429
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Chen, Yanju& Wang, Ye. Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1074429
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1074429
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر