Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 429, Issue -, Pages 125-139Publisher
ELSEVIER
DOI: 10.1016/j.physa.2015.02.060
Keywords
Fuzzy portfolio optimization; Semiabsolute deviation; Cardinality constraint; Artificial bee colony algorithm; Heuristics
Categories
Funding
- Capital University of Economics and Business
- Humanity and Social Science Youth foundation of Ministry of Education of China [13YJC630012]
- Training Programme Foundation for the Beijing Municipal Excellent Talents [2013D005019000007]
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In this paper, we discuss the portfolio optimization problem with real-world constraints under the assumption that the returns of risky assets are fuzzy numbers. A new possibilistic mean-semiabsolute deviation model is proposed, in which transaction costs, cardinality and quantity constraints are considered. Due to such constraints the proposed model becomes a mixed integer nonlinear programming problem and traditional optimization methods fail to find the optimal solution efficiently. Thus, a modified artificial bee colony (MABC) algorithm is developed to solve the corresponding optimization problem. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and the corresponding algorithm. (C) 2015 Elsevier B.V. All rights reserved.
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