3.8 Article

Portfolio rebalancing model with transaction costs using interval optimization

Journal

OPSEARCH
Volume 52, Issue 4, Pages 827-860

Publisher

SPRINGER INDIA
DOI: 10.1007/s12597-015-0210-0

Keywords

Closed Interval; Optimization; Portfolio selection; Rebalancing; Transaction cost

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In this paper, we discuss portfolio rebalancing model wherein some parameters like expected return, risk, transaction cost etc., of the objective function and constraints lie in intervals. A methodology has been proposed to find an efficient portfolio in this scenario. Further, the proposed methodology is illustrated in a numerical example with the hypothetical data to show the applicability of the results.

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