Multi-period portfolio selection model with transaction cost
- https://doi.org/10.2991/icsshe-15.2015.68How to use a DOI?
- Multi-period portfolio, Mean-semi variance, Transaction cost
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.
- © 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 -