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- W2091181258 abstract "In this paper we develop a multicriteria credibilistic framework for portfolio rebalancing. We use an expected value model with fuzzy parameters considering return, risk and liquidity as key financial criteria. The transaction costs are assumed to be paid on the basis of incremental discounts and are adjusted in the net return of the portfolio. A solution procedure based on fuzzy goal programming and a hybrid intelligent algorithm that combines fuzzy simulation with a real-coded genetic algorithm is presented to solve the portfolio rebalancing problem. The approach adopted here has the advantage of handling the multicriteria portfolio rebalancing problem where the fuzzy parameters are characterized by general functional forms. An empirical study is included to demonstrate the effectiveness of the solution approach and efficiency of the model in practical applications of rebalancing an existing portfolio." @default.
- W2091181258 created "2016-06-24" @default.
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- W2091181258 date "2013-03-01" @default.
- W2091181258 modified "2023-09-28" @default.
- W2091181258 title "Expected value multiobjective portfolio rebalancing model with fuzzy parameters" @default.
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- W2091181258 doi "https://doi.org/10.1016/j.insmatheco.2012.12.002" @default.
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