Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 222, Issue 2, Pages 341-349Publisher
ELSEVIER
DOI: 10.1016/j.ejor.2012.04.023
Keywords
Finance; Multi-period portfolio selection; Possibilistic semivariance; Possibilistic entropy; Hybrid intelligent algorithm
Funding
- National Natural Science Foundation of China [70825005, 71171086, 711 01056]
- GDUPS
- Program for New Century Excellent Talents in University [NCET-10-0401]
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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. (c) 2012 Elsevier B.V. All rights reserved.
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