A FUZZY MODEL FOR PORTFOLIO REBALANCING CONSIDERING TRANSACTION COSTS: A CASE STUDY IN TEHRAN STOCK EXCHANGE

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KHAYAMIM A.; MIRZAZADEH A.; NADERI B.

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Paper Information

Journal: Journal of Operational Research in its Applications Year:2014 | Volume:11 | Issue:2 (41) Page(s): 75-93

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Information Journal Paper

Title

A FUZZY MODEL FOR PORTFOLIO REBALANCING CONSIDERING TRANSACTION COSTS: A CASE STUDY IN TEHRAN STOCK EXCHANGE

Author(s)

KHAYAMIM A. | MIRZAZADEH A. | NADERI B. | Issue Writer Certificate

Keywords

PORTFOLIO SELECTIONQ2

FUZZY PROGRAMMINGQ2

PORTFOLIO REBALANCINGQ1

TRANSACTION COSTSQ2

Abstract

While market conditions change over the investment period, portfolio optimization models identify an optimal portfolio and hold it during the investment horizon. Accordingly, this paper presents a strategy to divide the investment period into sub-periods and revise an existing portfolio at the beginning of each sub-period. This study develops a fuzzy multi-objective nonlinear PORTFOLIO REBALANCING model to upgrade a portfolio considering investor profile, TRANSACTION COSTS and risk-free rate of return. Finally, the proposed method is validated for three different investor profiles by using the real data derived from Tehran Stock Exchange. The results show that the proposed strategy outperforms the market.

Cites

OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING

References

AN INTERACTIVE METHOD BASED ON DEFUZZIFICATION FOR SOLVING MULTI OBJECTIVE TRANSPORTATION PROBLEM

Cite

APA: Copy

KHAYAMIM, A., MIRZAZADEH, A., & NADERI, B.. (2014). A FUZZY MODEL FOR PORTFOLIO REBALANCING CONSIDERING TRANSACTION COSTS: A CASE STUDY IN TEHRAN STOCK EXCHANGE. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 11(2 (41)), 75-93. SID. https://sid.ir/paper/164540/en

Vancouver: Copy

KHAYAMIM A., MIRZAZADEH A., NADERI B.. A FUZZY MODEL FOR PORTFOLIO REBALANCING CONSIDERING TRANSACTION COSTS: A CASE STUDY IN TEHRAN STOCK EXCHANGE. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2014;11(2 (41)):75-93. Available from: https://sid.ir/paper/164540/en

IEEE: Copy

A. KHAYAMIM, A. MIRZAZADEH, and B. NADERI, “A FUZZY MODEL FOR PORTFOLIO REBALANCING CONSIDERING TRANSACTION COSTS: A CASE STUDY IN TEHRAN STOCK EXCHANGE,” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 11, no. 2 (41), pp. 75–93, 2014, [Online]. Available: https://sid.ir/paper/164540/en

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