IDEAS home Printed from https://ideas.repec.org/a/spr/fuzodm/v24y2025i1d10.1007_s10700-024-09437-7.html
   My bibliography  Save this article

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

Author

Listed:
  • Yong-Jun Liu

    (South China University of Technology)

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.

Suggested Citation

  • Yong-Jun Liu, 2025. "Multi-period fuzzy portfolio selection model with preference-regret criterion," Fuzzy Optimization and Decision Making, Springer, vol. 24(1), pages 1-27, March.
    • Handle: RePEc:spr:fuzodm:v:24:y:2025:i:1:d:10.1007_s10700-024-09437-7
    DOI: 10.1007/s10700-024-09437-7
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10700-024-09437-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10700-024-09437-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:fuzodm:v:24:y:2025:i:1:d:10.1007_s10700-024-09437-7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.