Paper Info
Title
A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control.
Abstract
This paper considers a multi-period portfolio selection problem imposed by return demand and risk control in a fuzzy investment environment, in which the returns of assets are characterized by fuzzy numbers. A fuzzy lower semi-deviation is originally defined as the risk control of portfolio. A proportion entropy constraint is added as the divergence measure of portfolio. Based on the theories of possibility and necessity measures, a new multi-period portfolio optimization model with return demand and risk control is proposed. And then, the proposed model is transformed into a crisp nonlinear programming problem by using fuzzy programming approach. Furthermore, an improved differential evolution algorithm is designed for obtaining the optimal strategy. Finally, a numerical example is given to illustrate the practicality and efficiency of the proposed model and the corresponding algorithm.
Year
DOI
Venue
2014
10.1016/j.fss.2013.09.002
Fuzzy Sets and Systems
Keywords
Field
DocType
Finance,Multi-period portfolio selection,Fuzzy mathematical programming,Possibility measure,Necessity measure,Differential evolution algorithm
Mathematical optimization,Fuzzy set operations,Fuzzy logic,Nonlinear programming,Portfolio,Fuzzy programming,Portfolio optimization,Risk Control,Fuzzy number,Mathematics
Journal
Volume
ISSN
Citations 
246
0165-0114
17
PageRank 
References 
Authors
0.75
31
3
Name
Order
Citations
PageRank
Wei-Guo Zhang155739.22
Yong-Jun Liu21385.81
Wei-Jun Xu315414.56