A Fuzzy Portfolio Model With Cardinality Constraints Based on Differential Evolution Algorithms

JianDong He
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JianDong He: Jiaxing Vocational and Technical College, China

International Journal of Data Warehousing and Mining (IJDWM), 2024, vol. 20, issue 1, 1-14

Abstract: Uncertain information in the securities market exhibits fuzziness. In this article, expected returns and liquidity are considered as trapezoidal fuzzy numbers. The possibility mean and mean absolute deviation of expected returns represent the returns and risks of securities assets, while the possibility mean of expected turnover represents the liquidity of securities assets. Taking into account practical constraints such as cardinality and transaction costs, this article establishes a fuzzy portfolio model with cardinality constraints and solves it using the differential evolution algorithm. Finally, using fuzzy c-means clustering algorithm, 12 stocks are selected as empirical samples to provide numerical calculation examples. At the same time, fuzzy c-means clustering algorithm is used to cluster the stock yield data and analyse the stock data comprehensively and accurately, which provides a reference for establishing an effective portfolio.

Date: 2024
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