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

摘要

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.