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Fuzzy-set approach to optimize assets portfolio accounting for liquidity
Journal: Economic Cybernetics. International scientific journal (Vol.61, No. 1)Publication Date: 2010-06-30
Authors : Kaminskiy A.B. Babenko D.A.;
Page : 21-30
Keywords : Fuzzy-set; portfolio accounting; liquidity; tree-criteria; optimize portfolio;
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Abstract
Fuzzy-set tree-criteria model that optimize assets portfolio accounting for transaction costs and liquidity. For the first time for such model the methodology of flexible approach to optimize portfolio accounting for investor’s strategic orientation and portfolio forming means is developed.
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