Multi-period mean–semivariance portfolio optimization based on uncertain measure

Multi-period mean–semivariance portfolio optimization based on uncertain measure In this paper, we discuss a multi-period portfolio selection problem when security returns are given by experts’ estimations. By considering the security returns as uncertain variables, we propose a multi-period mean–semivariance portfolio optimization model with real-world constraints, in which transaction costs, cardinality and bounding constraints are considered. Furthermore, we provide an equivalent deterministic form of mean–semivariance model under the assumption that the security returns are zigzag uncertain variables. After that, a modified imperialist competitive algorithm is developed to solve the corresponding optimization problem. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and the corresponding algorithm. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Soft Computing Springer Journals

Multi-period mean–semivariance portfolio optimization based on uncertain measure

17 pages
Read Article

Loading next page...
 
/lp/springer_journal/multi-period-mean-semivariance-portfolio-optimization-based-on-6bB89gUpWy
Publisher site
See Article on Publisher Site

Abstract

In this paper, we discuss a multi-period portfolio selection problem when security returns are given by experts’ estimations. By considering the security returns as uncertain variables, we propose a multi-period mean–semivariance portfolio optimization model with real-world constraints, in which transaction costs, cardinality and bounding constraints are considered. Furthermore, we provide an equivalent deterministic form of mean–semivariance model under the assumption that the security returns are zigzag uncertain variables. After that, a modified imperialist competitive algorithm is developed to solve the corresponding optimization problem. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and the corresponding algorithm.

Journal

Soft Computing – Springer Journals

Published: Jun 2, 2018

References

  • Fuzzy portfolio selection using genetic algorithm
    Abiyev, RH; Menekay, M
  • Mean–semivariance efficient frontier: a downside risk model for portfolio selection
    Ballestero, E
  • The efficient frontier for bounded assets
    Best, MJ; Hlouskova, J
  • Multi-horizon Markowitz portfolio performance appraisals: a general approach
    Brieca, W; Kerstens, K
  • A possibilistic approach to selecting portfolios with highest utility score
    Carlsson, C; Fullér, R; Majlender, P
  • Heuristics for cardinality constrained portfolio optimisation
    Chang, TJ; Meade, N; Beasley, JE
  • Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
    Chen, W
  • Diversified models for portfolio selection based on uncertain semivariance
    Chen, L; Peng, J; Zhang, B; Rosyida, I
  • A simple approximation for semivariance
    Choobineh, F; Branting, D
  • On the existence of solutions to the quadratic mixed integer mean–variance portfolio selection problem
    Corazza, M; Favaretto, D
  • Multi-stage stochastic linear programs for portfolio optimization
    Dantzig, GB; Infanger, G
  • Dynamic mean–variance portfolio selection with borrowing constraint
    Fu, C; Lari-Lavassani, A; Li, X
  • Shortest path problem with uncertain arc lengths
    Gao, Y
  • A stochastic programming approach for multi-period portfolio optimization
    Geyer, A; Hanke, M; Weissensteiner, A
  • A hybrid imperialist competitive-simulated annealing algorithm for a multisource multi-product location-routing-inventory problem
    Ghorbani, A; Akbari Jokar, MR
  • Variance vs downside risk: Is there really that much difference?
    Grootveld, H; Hallerbach, W
  • Toward the development of an equilibrium capital market model based on semi-variance
    Hogan, W; Warren, J
  • A survey on the imperialist competitive algorithm metaheuristic: implementation in engineering domain and directions for future research
    Hosseini, S; Al Khaled, A
  • A risk index model for portfolio selection with returns subject to experts’ estimations
    Huang, XX
  • A risk index model for multi-period uncertain portfolio selection
    Huang, XX; Qiao, L
  • Optimal dynamic portfolio selection: multi-period mean–variance formulation
    Li, D; Ng, WL
  • Interval portfolio selection models within the framework of uncertainty theory
    Li, X; Qin, Z
  • Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
    Li, B; Zhu, Y; Sun, Y; Aw, G; Teo, KL
  • Uncertainty theory
    Liu, BD
  • Some research problems in uncertainty theory
    Liu, BD
  • Uncertainty theory: a branch of mathematics for modeling human uncertainty
    Liu, BD
  • Why is there a need for uncertainty theory?
    Liu, BD
  • A multi-period fuzzy portfolio optimization model with minimum transaction lots
    Liu, YJ; Zhang, WG
  • A mean–variance–skewness model for portfolio selection with transaction costs
    Liu, S; Wang, S; Qiu, W
  • Multi-period cardinality constrained portfolio selection models with interval coefficients
    Liu, YJ; Zhang, WG; Wang, JB
  • Portfolio selection
    Markowitz, H
  • Portfolio selection: efficient diversification of investments
    Markowitz, H
  • Computation of mean–semivariance efficient sets by the critical line algorithm
    Markowitz, H
  • Solution of optimal reactive power dispatch of power systems using hybrid particle swarm optimization and imperialist competitive algorithms
    Mehdinejad, M; Mohammadi-Ivatloo, B; Dadashzadeh-Bonab, R; Zare, K
  • Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
    Mehlawat, MK
  • A comparative performance assessment of a set of multiobjective algorithms for constrained portfolio assets selection
    Mishra, SK; Panda, G; Majhi, R
  • Hybrid imperialist competitive-sequential quadratic programming (HIC-SQP) algorithm for solving economic load dispatch with incorporating stochastic wind power: a comparative study on heuristic optimization techniques
    Morshed, MJ; Asgharpour, A
  • Optimal multi-period portfolio polices
    Mossin, J
  • Application of imperialist competitive algorithm for feature selection: a case study on bulk rice classification
    MousaviRad, SJ; Tab, AF; Mollazade, K
  • An efficient hybrid algorithm based on modified imperialist competitive algorithm and K-means for data clustering
    Niknam, T; Taherian Fard, E; Pourjafarian, N; Rousta, A
  • Single-period inventory problem under uncertain environment
    Qin, ZF; Kar, S
  • Uncertain portfolio adjusting model using semiabsolute deviation
    Qin, Z; Kar, S; Zheng, H
  • Optimizing an inventory model with fuzzy demand, backordering, and discount using a hybrid imperialist competitive algorithm
    Sadeghi, J; Mousavi, SM; Niaki, STA
  • COOA: competitive optimization algorithm
    Sharafi, Y; Khanesar, MA; Teshnehlab, M
  • A mean-reverting currency model in an uncertain environment
    Shen, Y; Yao, K
  • Multi-period portfolio optimization under probabilistic risk measure
    Sun, Y; Aw, G; Teo, KL; Zhu, Y; Wang, X
  • The comparison of imperialist competitive algorithm applied and genetic algorithm for machining allocation of Clutch assembly
    Towsyfyan, H; Adnani-Salehi, SA; Ghayyem, M; Mosaedi, F
  • Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty
    Wang, B; Li, Y; Watada, J
  • Multi-period optimization portfolio with bankruptcy control in stochastic market
    Wei, SZ; Ye, ZX
  • The $$\alpha $$ α -cost minimization model for capacitated facility location–allocation problem with uncertain demands
    Wen, M; Qin, Z; Kang, R
  • Application of imperialist competitive algorithm on solving the traveling salesman problem
    Xu, S; Wang, Y; Huang, A
  • A class of multi-period semi-variance portfolio selection with a four-factor futures price model
    Yan, W; Li, SR
  • Multi-period mean–variance portfolio selection with stochastic interest rate and uncontrollable liability
    Yao, H; Li, Z; Li, D
  • The mean–variance approach to portfolio optimization subject to transaction costs
    Yoshimoto, A
  • Flexible job shop scheduling under condition-based maintenance: improved version of imperialist competitive algorithm
    Zandieha, M; Khatamib, AR; Rahmatiba, SHA
  • Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon
    Zeng, Y; Wu, HL; Lai, YZ
  • Mean-risk model for uncertain portfolio selection with background risk
    Zhai, J; Bai, M
  • An interval mean-average absolute deviation model for multiperiod portfolio selection with risk control and cardinality constraints
    Zhang, P
  • A fuzzy portfolio selection method based on possibilistic mean and variance
    Zhang, WG; Xiao, WL; Wang, YL
  • Uncertain programming models for portfolio selection with uncertain returns
    Zhang, B; Peng, J; Li, S
  • Risk control over bankruptcy in dynamic portfolio selection: a generalized mean–variance formulation
    Zhu, SX; Li, D; Wang, SY

You’re reading a free preview. Subscribe to read the entire article.

Try 2 weeks free now

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

or browse the journals available

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off

Sign up
for free
Start 14 day
Free Trial