Fuzzy multi-period portfolio selection with different investment horizons

• A fuzzy multi-period mean-variance portfolio selection model is formulated.
• The assets are assumed to have different investment horizons.
• A fuzzy simulation based genetic algorithm is designed to solve the model.

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.