期刊
APPLIED INTELLIGENCE
卷 48, 期 9, 页码 2996-3018出版社
SPRINGER
DOI: 10.1007/s10489-017-1124-8
关键词
Uncertainty modeling; Uncertain variable; Portfolio selection; Minimum transaction lots; FA-GA algorithm
资金
- National Natural Science Foundation of China [71720107002]
- Quantitative Finance Research Center of School of Information, Capital University of Economics and Business
- DST PURSE Phase-II Grant
- University of Delhi, Delhi, India
This paper discusses a portfolio selection problem under the mean-variance-skewness framework wherein the security returns are obtained through evaluation of the experts instead of historical data. By treating security returns as the uncertain variables, an uncertain mean-variance-skewness model is proposed for portfolio selection under consideration of the transaction costs, bounds on holdings, cardinality of the portfolio, and minimum transaction lots constraints. To solve the resultant portfolio selection problem, which is an NP-Complete nonlinear integer programming problem, a hybrid solution method termed the FA-GA is developed by combining features of the firefly algorithm (FA) and genetic algorithm (GA). In the proposed method, the crossover and mutation operators of the GA are integrated into the FA to strike an optimal balance between the exploration and exploitation. A numerical example of portfolio selection is given to demonstrate effectiveness of the proposed model and solution algorithm. Furthermore, a detailed performance analysis and comparison are done to establish superiority of the proposed model and solution method.
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