Single Period Portfolio Optimization with Fuzzy Transaction Costs
نویسندگان
چکیده
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.
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