On Multiperiod Portfolio Selection with Different Borrowing and Lending Rates
نویسندگان
چکیده
This paper deals with the problem of multiperiod portfolio selection, where borrowing and lending are allowed with different rates. Indeed, this work is mainly based on a recently published paper with the same subject. In this paper the underlying problem of multiperiod portfolio selection with different borrowing and lending rates is reformulated. After a thorough discussion about both conceptual and mathematical points, some new notations, compared to previous studies, are introduced. Afterward, a fuzzy representation of the reformulated model is proposed and a numerical example is used for implementing the presented model. Finally, the computational results are discussed.
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