A possibilistic portfolio adjusting model with new added assets

Wei-Guo Zhang, Wei-Lin Xiao and Wei-Jun Xu

Economic Modelling, 2010, vol. 27, issue 1, 208-213

Abstract: In order to fit changes in financial markets, portfolio managers often need to revise an existing portfolio. This article analyzes the portfolio adjusting problem with new added assets. We propose a possibilistic portfolio adjusting model with transaction costs and bounded constraints on holdings of assets, which can be transformed into a linear programming problem. Both the lower bounds on holdings and the total investment constraints influence the optimal portfolio adjusting strategies. Furthermore, a numerical example of a portfolio adjusting problem is given to illustrate our proposed effective approaches. The numerical results show the case that investors do not need to invest total capital and to hold all assets in the portfolio for some required return levels.

Keywords: Portfolio; adjusting; analysis; Possibilistic; return; Possibilistic; risk; Transaction; cost; Bounded; constraints; on; holdings (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:27:y:2010:i:1:p:208-213

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