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Portfolio rebalancing model with transaction costs using interval optimization

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Abstract

In this paper, we discuss portfolio rebalancing model wherein some parameters like expected return, risk, transaction cost etc., of the objective function and constraints lie in intervals. A methodology has been proposed to find an efficient portfolio in this scenario. Further, the proposed methodology is illustrated in a numerical example with the hypothetical data to show the applicability of the results.

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Acknowledgments

The authors would like to thank the referees for their comments and suggestions that led the paper into the current form.

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Authors and Affiliations

  1. Department of Mathematics, Indian Institute of Technology, Kharagpur, India

    Pankaj Kumar, Geetanjali Panda & U. C. Gupta

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  1. Pankaj Kumar
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  2. Geetanjali Panda
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  3. U. C. Gupta
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Correspondence to Geetanjali Panda.

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Kumar, P., Panda, G. & Gupta, U.C. Portfolio rebalancing model with transaction costs using interval optimization. OPSEARCH 52, 827–860 (2015). https://doi.org/10.1007/s12597-015-0210-0

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  • DOI: https://doi.org/10.1007/s12597-015-0210-0

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