Fuzzy Model for Portfolio Selection with Transaction Cost

摘要

This paper discusses the problem of portfolio selection with transaction cost in fuzzy environment. Fuzzy number is used to describe the expected return rate of security, and transaction cost is incorporated into the portfolio selection model. Similar to Markowitz's mean-variance model, we regard the possibilistic mean as the portfolio return and the variability as the portfolio risk, and construct a fuzzy model with transaction cost for portfolio selection. It is shown that there exists an optimal solution in the model, and the solution can be obtained by solving a convex quadratic programming problem.