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Fuzzy multi-period portfolio selection with different investment horizons

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  • Guo, Sini
  • Yu, Lean
  • Li, Xiang
  • Kar, Samarjit

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.

Suggested Citation

  • Guo, Sini & Yu, Lean & Li, Xiang & Kar, Samarjit, 2016. "Fuzzy multi-period portfolio selection with different investment horizons," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1026-1035.
    • Handle: RePEc:eee:ejores:v:254:y:2016:i:3:p:1026-1035
    DOI: 10.1016/j.ejor.2016.04.055
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    Cited by:

    1. Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2021. "Adaptive online portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1074-1086.
    2. Peng, Qiao & Liu, Weilong & Zhang, Yong & Zeng, Shihong & Graham, Byron, 2023. "Generation planning for power companies with hybrid production technologies under multiple renewable energy policies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 176(C).
    3. Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
    4. Kuen-Suan Chen & Ruey-Chyn Tsaur & Nei-Chih Lin, 2022. "Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates," Mathematics, MDPI, vol. 11(1), pages 1-13, December.
    5. Yong-Jun Liu & Wei-Guo Zhang, 2019. "Possibilistic Moment Models for Multi-period Portfolio Selection with Fuzzy Returns," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1657-1686, April.
    6. Liu, Weilong & Zhang, Yong & Liu, Kailong & Quinn, Barry & Yang, Xingyu & Peng, Qiao, 2023. "Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns," QBS Working Paper Series 2023/02, Queen's University Belfast, Queen's Business School.
    7. Zhang, Cheng & Gong, Xiaomin & Zhang, Jingshu & Chen, Zhiwei, 2023. "Dynamic portfolio allocation for financial markets: A perspective of competitive-cum-compensatory strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    8. Xiang Li & Hui Jiang & Sini Guo & Wai-ki Ching & Lean Yu, 2020. "On product of positive L-R fuzzy numbers and its application to multi-period portfolio selection problems," Fuzzy Optimization and Decision Making, Springer, vol. 19(1), pages 53-79, March.
    9. Yin-Yin Huang & Ruey-Chyn Tsaur & Nei-Chin Huang, 2022. "Sustainable Fuzzy Portfolio Selection Concerning Multi-Objective Risk Attitudes in Group Decision," Mathematics, MDPI, vol. 10(18), pages 1-15, September.
    10. Weiwei Guo & Wei-Guo Zhang & Zaiwu Gong, 2024. "Modeling of linear uncertain portfolio selection with uncertain constraint and risk index," Fuzzy Optimization and Decision Making, Springer, vol. 23(3), pages 469-496, September.
    11. Aijun Liu & Yaxuan Xiao & Zengxian Li & Ruiyao Wang, 2022. "An agent‐based multiattribute reverse auction approach for online secondhand commodities," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(1), pages 129-145, January.
    12. Krzysztof Piasecki & Joanna Siwek, 2018. "The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 28(1), pages 57-74.

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