The Fuzzy Optimization Portfolio Models with Captical Structure and Transaction costs and Risk Aversion
Hongjie Li · Shuxue de shijian yu renshi · 2008
The fuzzy optimization portfolio models are established with captical structure and transaction costs and risk aversion,the paper gives the optimical portfolio and the efficient frontier in the condition of short selling.The algorithm of the efficient frontier is given in the condition of denying short selling,the paper discusses the influence to efficient frontier when risk aversion and transaction costs and risk-free are changed.At last,a example is given.