Paper Info
Title
An optimization model of the portfolio adjusting problem with fuzzy return and a SMO algorithm
Abstract
Based on possibilistic mean and variance theory, this paper deals with the portfolio adjusting problem for an existing portfolio under the assumption that the returns of risky assets are fuzzy numbers and there exist transaction costs in portfolio adjusting precess. We propose a portfolio optimization model with V-shaped transaction cost which is associated with a shift from the current portfolio to an adjusted one. A sequential minimal optimization (SMO) algorithm is developed for calculating the optimal portfolio adjusting strategy. The algorithm is based on deriving the shortened optimality conditions for the formulation and solving 2-asset sub-problems. Numerical experiments are given to illustrate the application of the proposed model and the efficiency of algorithm. The results also show clearly the influence of the transaction costs in portfolio selection.
Year
DOI
Venue
2011
10.1016/j.eswa.2010.08.097
Expert Syst. Appl.
Keywords
Field
DocType
sequential minimal optimization,possibility theory,transaction costs,smo algorithm,portfolio optimization model,optimal portfolio,fuzzy return,sequential minimal optimization (smo),v-shaped transaction cost,current portfolio,2-asset sub-problems,portfolio selection,existing portfolio,transaction cost,portfolio adjusting,fuzzy number,portfolio optimization
Mathematical optimization,Transaction cost,Computer science,Fuzzy logic,Possibility theory,Portfolio,Portfolio optimization,Sequential minimal optimization,Fuzzy number,Merton's portfolio problem
Journal
Volume
Issue
ISSN
38
4
Expert Systems With Applications
Citations 
PageRank 
References 
7
0.46
20
Authors
3
Name
Order
Citations
PageRank
Xili Zhang1583.90
Wei-Guo Zhang255739.22
Wei-Jun Xu315414.56