标题: | Modeling Transaction Costs and Skewness in Portfolio: Application of Fuzzy Approach |
作者: | 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 |
关键字: | Skewness;Fuzzy theory;Portfolio selection;Short selling;Transaction cost |
公开日期: | 2013 |
摘要: | 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 |
期刊: | 2013 INTERNATIONAL CONFERENCE ON FUZZY THEORY AND ITS APPLICATIONS (IFUZZY 2013) |
起始页: | 397 |
结束页: | 401 |
显示于类别: | Conferences Paper |