Journal of Engineering and Applied Sciences

Year: 2018
Volume: 13
Issue: 13
Page No. 5004 - 5008

Portfolio Selection Optimization Which Involves Minimum Transaction Lot and Transaction Cost Using Rank Dependent Expected Utility

Authors : Pasrun Adam and La Gubu

Abstract: The purpose of this research was to develop a model of a portfolio selection optimization problem involving transaction lot and transaction cost in accordance with conditions in the Indonesia Stock Exchange. In the development of this model, the rank dependent expected utility theory was used. From the simulation result using the daily data of stock price, it was found that the behaviour of the objective function G(w) decreases, if parameter value a and b increase.

How to cite this article:

Pasrun Adam and La Gubu, 2018. Portfolio Selection Optimization Which Involves Minimum Transaction Lot and Transaction Cost Using Rank Dependent Expected Utility. Journal of Engineering and Applied Sciences, 13: 5004-5008.

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