A model for portfolio selection based on fuzzy decision-making theory
Shulan Ma · Journal of Foshan University · 2009
In this paper,we study portfolio selection in fuzzy case and propose corresponding model and algorithm.The transaction cost is taken as V-shaped function.An efficient way is given to transform an optimal problem with non-linear objective function or non-linear constraint into a linear problem.The investor's subjective impact is reflected in the model of the fuzzy decision-making environment.