journal6 ›› 2013, Vol. 34 ›› Issue (5): 21-26.DOI: 10.3969/j.issn.1007-2985.2013.05.006

• Mathematics • Previous Articles     Next Articles

Fuzzy Portfolio with Fixed Transaction Costs

 CHENG  Yang-Jin, YU  Shuang, LUO  Xiao-Qin, YU  Rui-Hua   

  1. (School of Mathematics of Computational Science,Xiangtan University,Xiangtan 411105,Hunan China)
  • Online:2013-09-25 Published:2013-11-04

Abstract: This paper,based on the interval planning method,studies the fuzzy portfolio selection model with fixed transaction costs.The model introduces the function of normal membership,and at the same time,considers the portfolio risk preference.The general portfolio risk preference method definition method is thus modified,which is more consistent with the interval programming,and taking into account the future rate of return,considers the actual situation factors-limit up and limit down.New liquidity definition method is introduced,and the previous defect brought out by turnover rate is overcome.

Key words: portfolio, interval planning, function of normal membership, limit up and limit down

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