An Interactive Approach for Portfolio Selection with Transaction Costs
Xia Jiang-shan · Journal of Tianjin University Science and Technology · 2004
By analyzing existent problem that computation is complex and operation is difficult in Markowitz's model of portfolio selection,based on profit satisfaction degree and risk satisfaction degree,this paper presents a new model that more actual and more easy to operate.By research of security market,presents a new interactive method for portfolio selection.With a transformation,we transform equivalently this no-differentiable and bi-(objective) optimization problem to a linear program.Themethod can meet investor's subjective desire sufficiently.Under the hypothesis of transaction cost,It gets a balance between profit and risk while satisfying the lower bound value of investor's requirements.And a numerical example is given.