The Interval Number Linear Programming Model for Portfolio Investment Subject to Transaction Cost
Yun Gui · Journal of Hefei University · 2010
Transaction cost is a practical and essential factor in the course of portfolio transaction.This paper aims at presenting an interval number linear programming model,which takes the transaction cost into consideration,for the portfolio investment and offering the efficient solution to the model.Via this model,the theory of portfolio investment can be improved to be more realistic and the investment strategy will become more rational and bring more profits to the investors.