Wei Chen and Cui-you Yao and Yue Qiu
PSObased Possibilistic Portfolio Model with Transaction Costs
445 - 450
2011
5
5
International Journal of Economics and Management Engineering
https://publications.waset.org/pdf/6561
https://publications.waset.org/vol/53
World Academy of Science, Engineering and Technology
This paper deals with a portfolio selection problem
based on the possibility theory under the assumption that the returns
of assets are LRtype fuzzy numbers. A possibilistic portfolio model
with transaction costs is proposed, in which the possibilistic mean
value of the return is termed measure of investment return, and the
possibilistic variance of the return is termed measure of investment
risk. Due to considering transaction costs, the existing traditional
optimization algorithms usually fail to find the optimal solution
efficiently and heuristic algorithms can be the best method. Therefore,
a particle swarm optimization is designed to solve the corresponding
optimization problem. At last, a numerical example is given to
illustrate our proposed effective means and approaches.
Open Science Index 53, 2011