PSO-based Possibilistc Mean-Variance Model with Transaction Costs

摘要：

In this paper, based on possibilistic mean and variance of fuzzy numbers a portfolio selection rebalancing problem is studied. Considering the importance of transaction costs for rebalancing the portfolio, a possibilistic portfolio model with transaction cost is proposed, in which transaction cost is assumed as a no-convex-no-concave function instead of V-Shaped function. Due to proposed problem is a non-smooth programming problem, an improved particle swarm optimization is designed. At last, a numerical example is given to illustrate our proposed effective approach.

关键词： Possibility Theory Portfolio Selection Transaction Costs Improved Particle Swarm Optimization

作者: Wei Chen Ling Yang Fasheng Xu

作者单位: School of Information, Capital University of Economics and Business,Beijing 100070, China Publishing Hourse,Capital University of Economics and Business,Beijing 100070,China School of Science,Jinan University,Jinan 250022,P.R.China

会议类型: 国际会议

会议名称: 2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)

会议地点: 广西桂林

会议语种:英文

页码: 5993-5997

在线出版日期: 2009-06-17（万方平台首次上网日期，不代表论文的发表时间）