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Multi-objective possibilistic model for portfolio selection with transaction cost. (English) Zbl 1161.91395

Summary: We introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.

MSC:

91G10 Portfolio theory
90C29 Multi-objective and goal programming
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