Portfolio adjusting optimization with added assets and transaction costs based on credibility measures

Wei-Guo Zhang, Xili Zhang and Yunxia Chen

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 353-360

Abstract: In response to changeful financial markets and investor’s capital, we discuss a portfolio adjusting problem with additional risk assets and a riskless asset based on credibility theory. We propose two credibilistic mean–variance portfolio adjusting models with general fuzzy returns, which take lending, borrowing, transaction cost, additional risk assets and capital into consideration in portfolio adjusting process. We present crisp forms of the models when the returns of risk assets are some deterministic fuzzy variables such as trapezoidal, triangular and interval types. We also employ a quadratic programming solution algorithm for obtaining optimal adjusting strategy. The comparisons of numeral results from different models illustrate the efficiency of the proposed models and the algorithm.

Keywords: Portfolio adjusting; Transaction costs; Credibilistic mean and variance; Lending and borrowing (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:353-360

DOI: 10.1016/j.insmatheco.2011.05.008

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