Title: Modeling Transaction Costs and Skewness in Portfolio: Application of Fuzzy Approach
Authors: Yu, Jing-Rung
Chiou, Wan-Jiun Paul
Chang, Wei-Yuan
Lee, Wen-Yi
科技管理研究所
Institute of Management of Technology
Keywords: Skewness;Fuzzy theory;Portfolio selection;Short selling;Transaction cost
Issue Date: 2013
Abstract: How to deal with errors in estimating return and trading costs is a critical issue in portfolio management. In this paper, we investigate the over-time rebalancing benefits of the portfolio models that consider mean, variance, skewness, allowing short-sale, and transaction costs by incorporating fuzzy decision making. We apply multiple criterion method to deal with the complexity of various objectives. Our empirical results using 144 stocks in Taiwan Stock Exchange confirm the benefits of fuzzy decision making with inclusion of higher moment risk, skewness, in portfolio model, particularly when short-sale is allowed.
URI: http://hdl.handle.net/11536/135366
ISBN: 978-1-4799-0386-3
Journal: 2013 INTERNATIONAL CONFERENCE ON FUZZY THEORY AND ITS APPLICATIONS (IFUZZY 2013)
Begin Page: 397
End Page: 401
Appears in Collections:Conferences Paper