Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory

Yong-Jun Liu () and Wei-Guo Zhang ()
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Yong-Jun Liu: School of Business Administration, South China University of Technology, Guangzhou 510641, P. R. China
Wei-Guo Zhang: School of Business Administration, South China University of Technology, Guangzhou 510641, P. R. China

International Journal of Information Technology & Decision Making (IJITDM), 2018, vol. 17, issue 03, 941-968

Abstract: Using the central value operator and the semi-dispersion measure of fuzzy number, this paper proposes the definitions of the lower and upper semi-variances. A general multiperiod fuzzy portfolio optimization model with return demand on the portfolio at each period is proposed with the objectives of maximizing both terminal wealth and the cumulative diversification degree of portfolios over the whole investment horizon, and minimizing terminal risk. A fuzzy multiobjective nonlinear programming technique is applied to convert the proposed model into a single-objective model. A genetic algorithm (GA) is given to solve it. Besides, a numerical example is given to illustrate the application of the proposed model and the effectiveness of the designed algorithm.

Keywords: Multiperiod portfolio selection; possibility theory; central value operator; entropy; multiobjective programming (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S0219622018500190

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