Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Mathematics in Practice and Theory》 2008-21
Add to Favorite Get Latest Update

The Fuzzy Optimization Portfolio Models with Captical Structure and Transaction costs and Risk Aversion

LI Hong-jie1,2(1.College of Information Science and Technology,Donghua University,Shanghai 200051,China)(2.Department of Mathematics,Jiaxing College,Jiaxing Zhejiang 314001,China)  
The fuzzy optimization portfolio models are established with captical structure and transaction costs and risk aversion,the paper gives the optimical portfolio and the efficient frontier in the condition of short selling.The algorithm of the efficient frontier is given in the condition of denying short selling,the paper discusses the influence to efficient frontier when risk aversion and transaction costs and risk-free are changed.At last,a example is given.
【Fund】: 浙江省教育厅资助项目(20041121)
【CateGory Index】: F830.9;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 4 Hits
1 RONG Xi-min, SHU Li (Department of Mathematics School of Science Tianjin University, Tianjin 300072, China);The Fuzzy Optimization Investment with Transaction Costs[J];Mathematics In Practice and Theory;2003-11
2 Rong Ximin\ Zhang Shiying(Deprtment of Mathematics, Management School, Tianjin University, Tianjin 300072);The Studing on the Fuzzy Optimization Models of Portfolio Selection[J];SYSTEMS ENGINEERING-THEORY & PRACTICE;1998-08
3 CHEN Shou 1, LIU Wei guo 1, WANG Shou yang 2, DENG Xiao tie 3 (1. International Business School,Hunan Univ., Changsha 410082 China; 2. Institute of Systems Science Chinese Academy of Sciences, Beijing 100080 China; 3. Dept. of Computer Science Cit;Study on the Efficient Frontier of Portfolio under Financing Constraints[J];RORECASTING;2000-01
4 CHEN Shou1, DENG Xiao-tie2, WANG Shou-yang3, LIU Wei-guo1 (1. International Business School, Hunan University, Changsha 410082, China; 2. Department of Computer Science, City University of Hong Kong, Kowloon, Hong Kong; 3. Institute of Systems Science;Impact on the Efficient Frontier of Portfolio of Varying Capital Structure[J];Chinese Journal of Management Science;2001-01
Chinese Journal Full-text Database 10 Hits
1 GUO Wen-jing,LEI Ming(School of Finance,Nanjing University of Finance & Economics,Nanjing 210046,China);Portfolio efficient frontier of company with liabilities and its dynamic properties[J];Journal of Anhui University(Natural Sciences);2006-02
2 REN Da, ZHANG Wei (Tianjin University, Tianjin 300072);On the Evaluation Modes of Stock Fund Achievements[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2001-02
3 ZHANG Xue-ying(Finance Department,Shandong Finance Institute,Jinnan 250014,China);Theory of Insurance Funds Asset Allocation:Model and Application[J];Journal of Shandong Institute of Business and Technology;2007-01
4 Guo Junyan;An Optimal Model with the Coefficient of Risk Preference for Securities Portfolio with Limited Short Selling[J];Systems Engineering;1999-05
5 Chen Shou Wu Yun;Portfolio Selection and Capital Structure Optimization under Principal-Agent Relation[J];SYSTEMS ENGINEERING;2000-04
6 WANG Lin-sheng (School of Business of Hubei Univ., Wuhan 430062, China);A Model of Multi-target Portfolio Investment[J];;2005-01
7 YANG Ce-ping,LIU Lei(School of Science,Hubei Univ.of Technology,Wuhan 430068,China);An Optimization Model of a Multi-project Combinatorial Investment[J];Journal of Hubei University of Technology;2006-06
8 WT4”BZ]MA Chao qun , CHAO Jian xiong , WEN Feng hua [WT5”BZ](International Business School,Hunan Univ,Changsha 410082,China) [WT5HZ];Parallel Movement of Effective Frontier in Expected Portfolio Return[J];JOURNAL OF HUNAN UNIVERSITY(NATURNAL SCIENCE);2000-05
9 YANG Ge1,MIN Xiao-ping2(1.Post-doctoral Work Station,China Pacific Insurance(Group) Co.,LTD.,Shanghai 200120,China; 2.School of Finance,Jiangxi University of Finance and Economics,Nanchang 330013,China);Analysis on Basic and Advanced of Portfolio Theory of Modern Finance[J];Hainan Finance;2006-11
10 LI Xiangjun(Faculty of Mathematics and Information,Wenzhou Normal College,Wenzhou 325000,China);The Model of CAPM Based on Time Serials[J];Journal of Huzhou Teachers College;2006-01
China Proceedings of conference Full-text Database 2 Hits
1 Zhu Chuanhua Xiang Jinqian Shao Xiaomin Luo Jianwen School of Management, Shanghai Jiao Tong University, Shanghai 200240;Stochastic Optimization Model on The Portfolio Selection[A];[C];2005
2 ;The Chance-Constrained Programming Models of Combined Securities with Fuzzy Variables[A];[C];2008
【Secondary Citations】
Chinese Journal Full-text Database 6 Hits
1 Wang zhu, Tang xiaowo, Cao changxiu;Iterative Methods for Portfolio Investment Risk Minimization with the Index of Weighted Sum of Line Elements[J];Systems Engineering;1994-05
2 Chen Shou Zhao Yuhua(International Business School, Hunan Univ , 410082 ,Changsha,P R China);The Efficient Set and the Efficient Boundary of the Stocks Combination Investment[J];JOURNAL OF HUNAN UNIVERSITY(NATURNAL SCIENCES);1995-02
3 CHEN Shou, LIU Wei guo International Business School, Hunan University, Changsha 410082;A review and study on the mutual influence of investment decision and capital structure optimization[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;1999-04
4 Yu Weisheng(Department of Management science,Jilin University, Chang chun, 130023);Efficient boundary of Portfolio Combination[J];APPLICATION OF STATISTICS AND MANAGEMENT;1996-03
5 Zeng Yong;Tang Xiaowo(Management College,University of Electronic Science and Technology of China,Chengdu 610054);PORTFOLIO SELECTION BY MAXIMIZATION OF EXPECTED EXCESS RETURN-TO-STANDARD DEVIATION RATIO[J];JOURNAL OF SYSTEMS ENGINEERING;1996-02
6 Rong Ximin\ Zhang Shiying(Deprtment of Mathematics, Management School, Tianjin University, Tianjin 300072);The Studing on the Fuzzy Optimization Models of Portfolio Selection[J];SYSTEMS ENGINEERING-THEORY & PRACTICE;1998-08
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved