Fuzzy portfolio selection model with real features and different decision behaviors


          

刊名：Fuzzy Optimization and Decision Making: A Journal of Modeling and Computation Under Uncertainty
作者：Liu, Yong-Jun（South China Univ Technol, Sch Business Adm, Guangzhou 510641, Guangdong, Peoples R China）
Zhang, Wei-Guo（South China Univ Technol, Sch Business Adm, Guangzhou 510641, Guangdong, Peoples R China）
刊号：519LB020
ISSN：1568-4539
出版年：2018
年卷期：2018, vol.17, no.3
页码：317-336
总页数：20
分类号：O22
关键词：Fuzzy portfolio selection；Mean-semivariance model；Real features；Decision behaviors；Hybrid differential evolution algorithm
参考中译：
语种：eng
文摘：In the ever changing financial markets, investor's decision behaviors may change from time to time. In this paper, we consider the effect of investor's different decision behaviors on portfolio selection in fuzzy environment. We present a possibilistic mean-semivariance model for fuzzy portfolio selection by considering some real investment features including proportional transaction cost, fixed transaction cost, cardinality constraint, investment threshold constraints, decision dependency constraints and minimum transaction lots. To describe investor's different decision behaviors, we characterize the return rates on securities by LR fuzzy numbers with different shape parameters in the left- and right-hand reference functions. Then, we design a novel hybrid differential evolution algorithm to solve the proposed model. Finally, we provide a numerical example to illustrate the application of our model and the effectiveness of the designed algorithm.



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