Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 228, Issue 1, Pages 188-196Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.cam.2008.09.008
Keywords
Possibility Theory; Portfolio Rebalancing; Entropy; Multi-objective problem; Transaction cost
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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. (c) 2008 Elsevier B.V. All rights reserved.
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