A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments

作者：Zhang, Wei Guo^*; Zhang, Xi Li; Xu, Wei Jun

来源：Insurance: Mathematics and Economics , 2010, 46(3): 493-499.

DOI：10.1016/j.insmatheco.2010.01.007

• Portfolio adjusting
• Possibilistic moment
• Transaction costs
• SMO-type decomposition method

Due to changes of situation in financial markets and investors' preferences towards risk, an existing portfolio may not be efficient after a period of time. In this paper, we propose a possibilistic risk tolerance model for the portfolio adjusting problem based on possibility moments theory. A Sequential Minimal Optimization (SMO)-type decomposition method is developed for finding exact optimal portfolio policy without extra matrix storage. We present a simple method to estimate the possibility distributions for the returns of assets. A numerical example is provided to illustrate the effectiveness of the proposed models and approaches.

• 出版日期2010-6
• 单位华南理工大学