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A multi-period portfolio selection optimization model by using interval analysis
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DOI：10.1016/j.econmod.2013.03.006.png)
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Due to few historical data that can be obtained in an emerging securities market, the future returns, risk and liquidity of securities cannot be forecasted precisely. The investment environment is usually fuzzy and uncertain. To handle these imprecise data, this paper discusses a fuzzy multi-period portfolio optimization problem where the returns, risk, and liquidity of securities are represented by interval variables. By taking the return, risk, liquidity and diversification degree of portfolio into consideration, an interval multi-period portfolio selection optimization model is proposed with the objective of maximizing the terminal wealth under the constraints of the return, risk and diversification degree of portfolio at each period. In the proposed model, a proportion entropy is employed to measure the diversification degree of portfolio. Using the fuzzy decision-making theory and multi-objective programming approach, the proposed model is transformed into a crisp nonlinear programming. Then, we design an improved particle swarm optimization algorithm for solution. Finally, a numerical example is given to illustrate the application of our model and demonstrate the effectiveness of the designed algorithm. Crown Copyright (C) 2013 Published by Elsevier B.V. All rights reserved.
Keyword:
Multi-period portfolio selection
Mean-variance
Liquidity
Entropy
Interval coefficients
PSO algorithm
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分享收藏A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs具有交易费用的多期投资组合选择的可能性均值-半方差-熵模型
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