Paper Info
Title
Multicriteria Credibilistic Portfolio Rebalancing Problem with Fuzzy Chance-Constraint.
Abstract
In this paper, we propose multicriteria credibilistic framework for portfolio rebalancing (adjusting) problem with fuzzy parameters considering return, risk and liquidity as key financial criteria. Transaction cost is an important factor to be taken into consideration in portfolio selection. It is not trivial enough to be neglected and the optimal portfolio depends upon the total costs of transaction. We assume that the investor pays changeable transaction costs based on incremental discount schemes, which are adjusted in the net return of the portfolio. A hybrid intelligent algorithm, integrating fuzzy simulation and real-coded genetic algorithm is developed to solve the portfolio rebalancing (adjusting) model.
Year
DOI
Venue
2011
10.1007/978-81-322-0487-9_92
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON SOFT COMPUTING FOR PROBLEM SOLVING (SOCPROS 2011), VOL 1
Keywords
Field
DocType
Fuzzy portfolio selection,Credibility measure,Multi-objective programming,Real-coded genetic algorithm,Transaction costs
Market liquidity,Mathematical optimization,Transaction cost,Computer science,Fuzzy logic,Portfolio,Database transaction,Total cost,Genetic algorithm
Conference
Volume
ISSN
Citations 
130
1867-5662
0
PageRank 
References 
Authors
0.34
16
3
Name
Order
Citations
PageRank
Pankaj Gupta11479133.85
Garima Mittal2693.62
Mukesh Kumar Mehlawat327522.90