Fuzzy portfolio selection model with real features and different decision behaviors

Yong-Jun Liu () and Wei-Guo Zhang ()
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Yong-Jun Liu: South China University of Technology
Wei-Guo Zhang: South China University of Technology

Fuzzy Optimization and Decision Making, 2018, vol. 17, issue 3, No 4, 317-336

Abstract: Abstract In the ever changing financial markets, investor’s decision behaviors may change from time to time. In this paper, we consider the effect of investor’s different decision behaviors on portfolio selection in fuzzy environment. We present a possibilistic mean-semivariance model for fuzzy portfolio selection by considering some real investment features including proportional transaction cost, fixed transaction cost, cardinality constraint, investment threshold constraints, decision dependency constraints and minimum transaction lots. To describe investor’s different decision behaviors, we characterize the return rates on securities by LR fuzzy numbers with different shape parameters in the left- and right-hand reference functions. Then, we design a novel hybrid differential evolution algorithm to solve the proposed model. Finally, we provide a numerical example to illustrate the application of our model and the effectiveness of the designed algorithm.

Keywords: Fuzzy portfolio selection; Mean-semivariance model; Real features; Decision behaviors; Hybrid differential evolution algorithm (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10700-017-9274-z

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