 Multi-period and tri-objective uncertain portfolio selection model: A behavioral approachXiu Jin, Na Chen and Ying Yuan The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 492-504 Abstract: This paper discusses a multi-period and tri-objective portfolio optimization problem, where asset returns are formalized as uncertain variables. Based on uncertainty theory, a multi-period and tri-objective uncertain portfolio model is proposed, which considers the loss-averse utility, liquidity risk and diversification degree simultaneously. Additionally, a chance constraint is introduced into the model to reflect investors’ safety requirement during the investment period. To solve the portfolio model, a self-adaptive particle swarm optimization (SAPSO) is also proposed. In SAPSO, a self-adaptive stochastic ranking approach is employed to balance the abilities of exploration and exploitation in the searching process. Finally, a numerical experiment is presented. The results show that SAPSO is effective to solve the proposed model and the proposed portfolio model can express investors’ preference by adjusting the objective weights. Keywords: Finance; Portfolio selection; Loss aversion; Uncertain modelling; Particle swarm optimization (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:47:y:2019:i:c:p:492-504 DOI: 10.1016/j.najef.2018.06.005 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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