کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054629 | 1476533 | 2013 | 8 صفحه PDF | دانلود رایگان |
- We formulate the possibilistic mean and variance for multi-period terminal wealth.
- The derivations are obtained by using the central value operator of fuzzy numbers.
- We originally develop a class of multi-period fuzzy portfolio optimization models.
- We present a PSO algorithm to obtain the optimal multi-period strategy.
A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period. However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to time. Hence it is natural to extend the single-period fuzzy portfolio selection to the multi-period case based on the possibility theory. In this paper, we propose the possibilistic expected value and variance for the terminal wealth with fuzzy forms after T periods by using the central value operator. Classes of multi-period possibilistic mean-variance models are formulated originally under the assumption that the proceeds of risky assets are fuzzy variables. Besides, we apply a particle swarm optimization algorithm to solve the proposed multi-period fuzzy portfolio selection models. A numerical example is given to illustrate the performance of the proposed models and algorithm.
Journal: Economic Modelling - Volume 35, September 2013, Pages 401-408