Portfolio Rebalancing Model Using Fuzzy Optimization

Manoj Jha, Namita Srivastava

Abstract: Uncertainty in stock market is a major issue for all the investor. Researchers have proposed portfolio selection as one of the measures to overcome uncertainty of stock market. The financial market is highly volatile and investor needs to change his/her investment strategy from time to time. Investor can construct portfolio using his/her own aspiration level with respect to return, dividend, risk, liquidity and transaction cost. In this paper portfolio is constructed and rebalanced using fuzzy optimization technique with user different aspiration level.

Keywords: Portfolio selection, semi absolute deviation, fuzzy number, transaction cost, S-shape membership functions