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《Mathematics in Practice and Theory》 2008-21
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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
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