Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs

Amir Abbas Najafi and Siamak Mushakhian

Applied Mathematics and Computation, 2015, vol. 256, issue C, 445-458

Abstract: In this paper, we present a model for portfolio selection, characterized on the basis of three parameters: the expected value, semivariance, and Conditional Value-at-Risk (CVaR) at a specified confidence level. In order to solve the proposed model, we design a hybrid of genetic algorithm (GA) and particle swarm optimization (PSO) algorithm. Because the effectiveness of meta-heuristic algorithms significantly depends on the proper choice of parameters, a Taguchi experimental design method is applied to set the suitable values of parameters to improve the hybrid algorithm performance. Finally, some numerical examples are given to illustrate the effectiveness of the proposed algorithm.

Keywords: Portfolio selection; Multi-period investment; Hybrid algorithm; Transaction costs; Risk measures (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:256:y:2015:i:c:p:445-458

DOI: 10.1016/j.amc.2015.01.050

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