Multi-objective possibilistic model for portfolio selection with transaction cost |
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Authors: | P. Jana T.K. Roy S.K. Mazumder |
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Affiliation: | 1. Department of Mathematics, Scottish Church College, 1 & 3 Urquhart Square Calcutta - 700 006, India;2. Department of Mathematics, Bengal Engineering & Science University, Howrah - 711103, India |
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Abstract: | 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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Keywords: | Possibility Theory Portfolio Rebalancing Entropy Multi-objective problem Transaction cost |
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