A fuzzy portfolio model considering transaction costs

This paper deals with the portfolio selection problem when the expected return rates and risks are fuzzy. Firstly, assuming the transaction cost being taken as V-shaped function, a fuzzy linear portfolio model is established based on the hypothesis that the correlation coefficients of different stock return rates are the same. Then, the fuzzy linear programming problem is transformed into a multi-objective linear programming problem by using fuzzy mathematics and its analytic solution is obtained. Finally, actual Chinese stock market data is given as a numerical example to illustrate the model.