Expected value multiobjective portfolio rebalancing model with fuzzy parameters

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<title>Expected value multiobjective portfolio rebalancing model with fuzzy parameters</title>
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<namePart>Gupta, Pankaj</namePart>
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<abstract displayLabel="Summary">In this paper we develop a multicriteria credibilistic framework for portfolio rebalancing. We use an expected value model with fuzzy parameters considering return, risk and liquidity as key financial criteria. The transaction costs are assumed to be paid on the basis of incremental discounts and are adjusted in the net return of the portfolio. A solution procedure based on fuzzy goal programming and a hybrid intelligent algorithm that combines fuzzy simulation with a real-coded genetic algorithm is presented to solve the portfolio rebalancing problem. The approach adopted here has the advantage of handling the multicriteria portfolio rebalancing problem where the fuzzy parameters are characterized by general functional forms. An empirical study is included to demonstrate the effectiveness of the solution approach and efficiency of the model in practical applications of rebalancing an existing portfolio</abstract>
<note type="statement of responsibility">Pankaj Gupta, Garima Mittal, Mukesh Kumar Mehlawat</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>04/03/2013 Volumen 52 Número 2 - marzo 2013 </text>
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