期刊
ANNALS OF OPERATIONS RESEARCH
卷 244, 期 2, 页码 545-569出版社
SPRINGER
DOI: 10.1007/s10479-016-2117-4
关键词
Multi-period portfolio; Interval coefficient; Order relation; Possibility degree; Differential evolution algorithm
资金
- National Natural Science Foundation of China [71501076]
- Natural Science Foundation of Guangdong Province of China [2014A030310454]
- Fundamental Research Funds for the Central Universities [2015ZM084, 2014ZP0005]
- Guangzhou Financial Services Innovation and Risk Management Research Base
In this paper, we discuss a multi-period portfolio selection problem in emerging markets. To provide investors with more choices, we propose four multi-period cardinality constrained portfolio selection models with interval coefficients in both objective functions and constraints. The proposed models can be equivalently represented as the parameter programming problems with interval coefficients in constraints. We utilize the definition of the possibility degree for interval inequality to handle the interval inequality constraints in the proposed models and express investors' different risk attitudes. Then, the proposed models are transformed into deterministic models. After that, we design a new dynamic differential evolution algorithm with self-adapting control parameter to solve the transformed deterministic models. Finally, we provide a numerical example to illustrate the applications of the proposed models and demonstrate the effectiveness of the designed algorithm.
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