Gupta, Pankaj; Mittal, Garima; Mehlawat, Mukesh Kumar - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 190-203
In this paper we develop a multicriteria credibilistic framework for portfolio rebalancing. We use an expected value model with fuzzy parameters considering return, risk and liquidity as key financial criteria. The transaction costs are assumed to be paid on the basis of incremental discounts...