Fuzzy Multi-period Mean-variance-skewness Portfolio Selection Model with Transaction Cost
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- 英文论文题名：Fuzzy Multi-period Mean-variance-skewness Portfolio Selection Model with Transaction Cost
- 论文作者：Xiaolian Meng ; Nanyan Lin
- 英文论文作者：Xiaolian Meng ; Nanyan Lin ; School of Economics and Management ; Nanjing University of Science and Technology
- 年：2017
- 作者机构：School of Economics and Management,Nanjing University of Science and Technology;
- 英文论文关键词：multi-period portfolio ; fuzzy theory ; mean-variance-skewness ; transaction cost
- 会议召开时间：2017-07-26
- 会议录名称：第36届中国控制会议论文集（B）
- 英文会议录名称：Proceedings of the 36th Chinese Control Conference（B）
- 语种：英文
- 分类号：F224;F830.9
- 学会代码：KZLL
- 会议名称：第36届中国控制会议
- 会议地点：中国辽宁大连
- 主办单位：中国自动化学会控制理论专业委员会
- 学会名称：中国自动化学会控制理论专业委员会
- 页数：7
- 文件大小：302k
- 原文格式：D
- 会议级别：全国
摘要
This paper deals with a multi-period portfolio selection problem with fuzzy returns. A mean-variance-skewness model for multi-period portfolio selection is presented by taking into account four criteria viz., short and long term returns, dividends, liquidity and number of assets in the portfolio. The return and risk level are measured by interval numbers in the proposed model. Furthermore, an intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, a numerical example is provided to illustrate the efficiency of the proposed model and the designed algorithm.
This paper deals with a multi-period portfolio selection problem with fuzzy returns. A mean-variance-skewness model for multi-period portfolio selection is presented by taking into account four criteria viz., short and long term returns, dividends, liquidity and number of assets in the portfolio. The return and risk level are measured by interval numbers in the proposed model. Furthermore, an intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, a numerical example is provided to illustrate the efficiency of the proposed model and the designed algorithm.
This paper deals with a multi-period portfolio selection problem with fuzzy returns. A mean-variance-skewness model for multi-period portfolio selection is presented by taking into account four criteria viz., short and long term returns, dividends, liquidity and number of assets in the portfolio. The return and risk level are measured by interval numbers in the proposed model. Furthermore, an intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, a numerical example is provided to illustrate the efficiency of the proposed model and the designed algorithm.
引文
[1]Markowitz H.Portfolio Selection.Journal of Finance,1952,7(1):77–91.
[2]S.Giove,S.Funari and C.Nardelli.An interval portfolio selection problem based on regret function.European Journal of Operational Research,vol.170,pp.253-264,April 2006.
[3]P.Gupta,M.K.Mehlawat and A.Saxena.Asset portfolio optimization using fuzzy mathematical programming.Information Sciences,vol.178,pp.1734–1755,March 2008.
[4]Y.S.Xia,B.D.Liu,S.Y.Wang and K.K.Lai.A model for portfolio selection with order of expected returns.Computers&Operations Research,vol.27,pp.409–422,April 2000.
[5]Prakash A J,Chang C H,Pactwa T E.Selecting a portfolio with skewness:Recent evidence from US,European,and Latin American equity markets.Journal of Banking&Finance,2003,27(7):1375-1390.
[6]Samuelson P.The fundamental approximation of theorem of portfolio analysis in terms of means variance and higher moments.Review of Economics Studies,1970,37(4):537—542.
[7]T.Lai,Portfolio selection with skewness:a multiple–objective approach,Review of the Quantitative Finance and Accounting,1(1991)293–305.
[8]H.Konno,K.Suzuki,A mean–variance–skewness portfolio optimization model,Journal of the Operations Research Society of Japan,38(1995)137–187.
[9]S.C.Liu,S.Y.Wang,W.H.Qiu,A mean–variance–skewness model for portfolio selection with transaction costs,International Journal of System Science,34(2003)255–262.
[10]W.Briec,K.Kerstens,O.Jokung,Mean–variance–skewness portfolio performance gauging:a general shortage function and dual approach,Management Science,53(2007)135–149.
[11]L.Yu,S.Y.Wang,K.Lai,Neural network based mean–variance–skewness model for portfolio selection,Computers and Operations Research,35(2008)34–46.
[12]P.Chunhachinda,K.Dandapani,S.Hamid,A.J.Prakash,Portfolio selection and skewness:evidence from international stock markets,Journal of Banking and Finance,21(1997)143–167.
[13]A.J.Prakash,C.Chang,T.E.Pactwa,Selecting a portfolio with skewness:recent evidence from US,European and Latin American equity markets,Journalof Banking and Finance,27(2003)1375–1390.
[14]H.Tanaka and P.Guo,Portfolio selection based on upper and lower exponential possibility distributions,Eur.J.Oper.Res.,vol.114,no.1,pp.115–126,1999.
[15]C.Carlsson,R.Fuller,and P.Majlender,A possibilistic approach to selecting portfolios with highest utility score,Fuzzy Set.Syst.,vol.131,no.1,pp.13–21,2002.
[16]Chen W.Weighted portfolio selection models based on possibility theory.Fuzzy Information&Engineering,2009,1(2):115-127.
[17]Liu S T.A fuzzy modeling for fuzzy portfolio optimization.Expert Systems with Applications,2011,38(11):13803-13809.
[18]Zhang W G,Liu Y J,Xu W J.A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs.European Journal of Operational Research,2012,222(2):341-349.
[19]Liu Y J,Zhang W G,Xu W J.Fuzzy multi-period portfolio selection optimization models using multiple criteria.Automatics,2012,48(12):3042-3053.
[20]Vercher E,Bermudez J D.A possibilistic mean-downside risk-skewness model for efficient portfolio selection.IEEE Transactions on Fuzzy Systems,2013,21(3):585-595.
[21]Zhang W G,Liu Y J,Xu W J.A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control.Fuzzy Sets&Systems,2014,246(4):107-126.
[22]Parra M A,Terol A B,Ur??A M V R.A fuzzy goal programming approach to portfolio selection.European Journal of Operational Research,2001,133(2):287-297.
[23]Lai K K,Wang S Y,Xu J P,et al.A class of linear interval programming problems and its application to portfolio selection.IEEE Transactions on Fuzzy Systems,2002,10(6):698-704.
[2]S.Giove,S.Funari and C.Nardelli.An interval portfolio selection problem based on regret function.European Journal of Operational Research,vol.170,pp.253-264,April 2006.
[3]P.Gupta,M.K.Mehlawat and A.Saxena.Asset portfolio optimization using fuzzy mathematical programming.Information Sciences,vol.178,pp.1734–1755,March 2008.
[4]Y.S.Xia,B.D.Liu,S.Y.Wang and K.K.Lai.A model for portfolio selection with order of expected returns.Computers&Operations Research,vol.27,pp.409–422,April 2000.
[5]Prakash A J,Chang C H,Pactwa T E.Selecting a portfolio with skewness:Recent evidence from US,European,and Latin American equity markets.Journal of Banking&Finance,2003,27(7):1375-1390.
[6]Samuelson P.The fundamental approximation of theorem of portfolio analysis in terms of means variance and higher moments.Review of Economics Studies,1970,37(4):537—542.
[7]T.Lai,Portfolio selection with skewness:a multiple–objective approach,Review of the Quantitative Finance and Accounting,1(1991)293–305.
[8]H.Konno,K.Suzuki,A mean–variance–skewness portfolio optimization model,Journal of the Operations Research Society of Japan,38(1995)137–187.
[9]S.C.Liu,S.Y.Wang,W.H.Qiu,A mean–variance–skewness model for portfolio selection with transaction costs,International Journal of System Science,34(2003)255–262.
[10]W.Briec,K.Kerstens,O.Jokung,Mean–variance–skewness portfolio performance gauging:a general shortage function and dual approach,Management Science,53(2007)135–149.
[11]L.Yu,S.Y.Wang,K.Lai,Neural network based mean–variance–skewness model for portfolio selection,Computers and Operations Research,35(2008)34–46.
[12]P.Chunhachinda,K.Dandapani,S.Hamid,A.J.Prakash,Portfolio selection and skewness:evidence from international stock markets,Journal of Banking and Finance,21(1997)143–167.
[13]A.J.Prakash,C.Chang,T.E.Pactwa,Selecting a portfolio with skewness:recent evidence from US,European and Latin American equity markets,Journalof Banking and Finance,27(2003)1375–1390.
[14]H.Tanaka and P.Guo,Portfolio selection based on upper and lower exponential possibility distributions,Eur.J.Oper.Res.,vol.114,no.1,pp.115–126,1999.
[15]C.Carlsson,R.Fuller,and P.Majlender,A possibilistic approach to selecting portfolios with highest utility score,Fuzzy Set.Syst.,vol.131,no.1,pp.13–21,2002.
[16]Chen W.Weighted portfolio selection models based on possibility theory.Fuzzy Information&Engineering,2009,1(2):115-127.
[17]Liu S T.A fuzzy modeling for fuzzy portfolio optimization.Expert Systems with Applications,2011,38(11):13803-13809.
[18]Zhang W G,Liu Y J,Xu W J.A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs.European Journal of Operational Research,2012,222(2):341-349.
[19]Liu Y J,Zhang W G,Xu W J.Fuzzy multi-period portfolio selection optimization models using multiple criteria.Automatics,2012,48(12):3042-3053.
[20]Vercher E,Bermudez J D.A possibilistic mean-downside risk-skewness model for efficient portfolio selection.IEEE Transactions on Fuzzy Systems,2013,21(3):585-595.
[21]Zhang W G,Liu Y J,Xu W J.A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control.Fuzzy Sets&Systems,2014,246(4):107-126.
[22]Parra M A,Terol A B,Ur??A M V R.A fuzzy goal programming approach to portfolio selection.European Journal of Operational Research,2001,133(2):287-297.
[23]Lai K K,Wang S Y,Xu J P,et al.A class of linear interval programming problems and its application to portfolio selection.IEEE Transactions on Fuzzy Systems,2002,10(6):698-704.