Fuzzy multi-period portfolio selection with different investment horizons

Sini Guo, Lean Yu (), Xiang Li and Samarjit Kar

European Journal of Operational Research, 2016, vol. 254, issue 3, 1026-1035

Abstract: This paper considers a fuzzy multi-period portfolio selection problem with V-Shaped transaction cost. Compared with the traditional studies assuming that assets have the same investment horizon, we handle the practical but complicated situation in which assets have different investment horizons. Within the framework of credibility theory, a mean-variance model is formulated with the objective of maximizing the terminal return under the total risk constraint over the whole investment. Alternatively, a variation is given by minimizing the total risk under the terminal return constraint. A fuzzy simulation based genetic algorithm (FSGA) is designed and three numerical examples are given to illustrate the effectiveness of the proposed approach.

Keywords: Fuzzy sets; Multi-period portfolio selection; Mean-variance model; Credibility theory; Fuzzy simulation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:254:y:2016:i:3:p:1026-1035

DOI: 10.1016/j.ejor.2016.04.055

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