Paper Info
Title
A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs.
Abstract
This paper deals with a multi-period portfolio selection problem with fuzzy returns. A possibilistic mean-semivariance-entropy model for multi-period portfolio selection is presented by taking into account four criteria viz.; return, risk, transaction cost and diversification degree of portfolio. In the proposed model, the return level is quantified by the possibilistic mean value of return, the risk level is characterized by the lower possibilistic semivariance of return, and the diversification degree of portfolio is measured by the originally presented possibilistic entropy. Furthermore, a hybrid intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, the comparison analysis between the possibilistic entropy model and the proportion entropy model is provided by two numerical examples to illustrate the efficiency of the proposed approaches and the designed algorithm. © 2012 Elsevier B.V. All rights reserved.
Year
DOI
Venue
2012
10.1016/j.ejor.2012.04.023
European Journal of Operational Research
Keywords
Field
DocType
Finance,Multi-period portfolio selection,Possibilistic semivariance,Possibilistic entropy,Hybrid intelligent algorithm
Semivariance,Mathematical optimization,Transaction cost,Mean value,Fuzzy logic,Post-modern portfolio theory,Portfolio,Portfolio optimization,Diversification (marketing strategy),Mathematics
Journal
Volume
Issue
ISSN
222
2
0377-2217
Citations 
PageRank 
References 
37
1.00
26
Authors
3
Name
Order
Citations
PageRank
Wei-Guo Zhang155739.22
Yong-Jun Liu21385.81
Wei-Jun Xu315414.56