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Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach

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  • Jin, Xiu
  • Chen, Na
  • Yuan, Ying

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.

Suggested Citation

  • Jin, Xiu & Chen, Na & Yuan, Ying, 2019. "Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 492-504.
    • Handle: RePEc:eee:ecofin:v:47:y:2019:i:c:p:492-504
    DOI: 10.1016/j.najef.2018.06.005
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