Proceedings of the 2015 International Conference on Social Science and Higher Education

Multi-period portfolio selection model with transaction cost

Authors
Jun Cai, Xiaolian Meng
Corresponding Author
Jun Cai
Available Online December 2015.
DOI
https://doi.org/10.2991/icsshe-15.2015.68How to use a DOI?
Keywords
Multi-period portfolio, Mean-semi variance, Transaction cost
Abstract

In this paper, the possibilistic entropy model is introduced based on mean-semi variance model firstly. Then, the model was expanded to multi-period mean-semi variance possibilistic entropy model with transaction costs, taking the actual transaction costs and multi-period investment into account. Moreover, a numerical example was designed to prove the promotion performance of multi-period mean-semi variance possibilistic entropy model by using the stock data of Shanghai Stock Exchange, as well as carrying out coding and solving for the proposed model by using MATLAB software. The proposed model can provide decision basis and tools for investors.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International Conference on Social Science and Higher Education
Series
Advances in Social Science, Education and Humanities Research
Publication Date
December 2015
ISBN
978-94-6252-126-1
ISSN
2352-5398
DOI
https://doi.org/10.2991/icsshe-15.2015.68How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Jun Cai
AU  - Xiaolian Meng
PY  - 2015/12
DA  - 2015/12
TI  - Multi-period portfolio selection model with transaction cost
BT  - Proceedings of the 2015 International Conference on Social Science and Higher Education
PB  - Atlantis Press
SP  - 267
EP  - 272
SN  - 2352-5398
UR  - https://doi.org/10.2991/icsshe-15.2015.68
DO  - https://doi.org/10.2991/icsshe-15.2015.68
ID  - Cai2015/12
ER  -