Portfolio Rebalancing Model based on Fuzzy Decision Theory

Subject Areas : Journal of Investment Knowledge

Zahra  Amirhosseini ¹ (Assistant Professor, Department of management ,Shahre-Gods Branch, Islamic Azad university)
Laleh  Shabani Barzegar ² (MA. Graduated Student Financial management Science and Research Branch, Islamic Azad University)

Received: 2013-01-09 Accepted : 2013-05-05 Published : 2013-05-05

Keywords: portfolio, Return, Risk, liquidity, Portfolio Rebalancing,

Abstract :

In this paper, we used portfolio rebalancing strategy as a mechanism for review of the stock of investor The Fuzzy approach to trading costs.  The designed Model is based on three key factors, expected return, risk and the stock Degree of liquidity. To test the model, we used data and information of traded stocks on the Tehran Stock Exchange during the period 1388 to 1390 and with arrival of Enter the subjective expectations levels of investors, we have examined the performance of the model in two scenarios. The results can show the subjective expectations levels of investors than expected return, risk and liquidity in order to re-balancing of Investors portfolio.