Multi-period fuzzy portfolio selection model with preference-regret criterion

Yong-Jun Liu ()
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Yong-Jun Liu: South China University of Technology

Fuzzy Optimization and Decision Making, 2025, vol. 24, issue 1, No 1, 27 pages

Abstract: Abstract In this paper, we explore a preference-regret decision problem for multi-period portfolio selection in a fuzzy environment. To do this, we first define a possibilistic preference-regret measure to quantify an investor’s regret for not holding the ex-post best-performing strategy. Then, we present a possibilistic preference-regret model with real investment constraints for multi-period fuzzy portfolio selection. In our proposed model, we assume that the investor aims to identify an optimal investment strategy that maximizes the cumulative possibilistic preference-regret concerning portfolio returns over the entire investment horizon. To enhance the practicality of our model, we incorporate several real-world investment constraints, including transaction costs, cardinality constraint, dependency constraint, and budget constraint. Furthermore, we develop an improved co-evolutionary particle swarm optimization algorithm to solve our proposed model. Finally, we conduct a comparative analysis using a numerical example to demonstrate the practicality of our model and validate the effectiveness of the solution algorithm.

Keywords: Multi-period portfolio selection; Fuzzy return; Preference-regret criterion; Real features; ICPSO algorithm (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10700-024-09437-7

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