Multi-period cardinality constrained portfolio selection models with interval coefficients

Yong-Jun Liu (), Wei-Guo Zhang () and Jun-Bo Wang ()
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Yong-Jun Liu: South China University of Technology
Wei-Guo Zhang: South China University of Technology
Jun-Bo Wang: City University of Hong Kong

Annals of Operations Research, 2016, vol. 244, issue 2, No 13, 545-569

Abstract: Abstract In this paper, we discuss a multi-period portfolio selection problem in emerging markets. To provide investors with more choices, we propose four multi-period cardinality constrained portfolio selection models with interval coefficients in both objective functions and constraints. The proposed models can be equivalently represented as the parameter programming problems with interval coefficients in constraints. We utilize the definition of the possibility degree for interval inequality to handle the interval inequality constraints in the proposed models and express investors’ different risk attitudes. Then, the proposed models are transformed into deterministic models. After that, we design a new dynamic differential evolution algorithm with self-adapting control parameter to solve the transformed deterministic models. Finally, we provide a numerical example to illustrate the applications of the proposed models and demonstrate the effectiveness of the designed algorithm.

Keywords: Multi-period portfolio; Interval coefficient; Order relation; Possibility degree; Differential evolution algorithm (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10479-016-2117-4

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