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Soft Computing
Erschienen in: Soft Computing 4/2021

01.10.2020 | Methodologies and Application

A multi-period fuzzy mean-minimax risk portfolio model with investor’s risk attitude

verfasst von: Xingyu Yang, Weilong Liu, Sidou Chen, Yong Zhang

Erschienen in: Soft Computing | Ausgabe 4/2021

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Abstract

This paper deals with a multi-period portfolio selection problem considering investor’s risk attitude in fuzzy environment. We regard the return rate of each risky asset as a fuzzy number and use the expected value and semi-absolute deviation to measure its return and risk, respectively. We adopt an \(l_{\infty }\) downside risk function to measure the portfolio’s risk, which is represented by the maximum individual risk. Moreover, we formulate a reasonable diversification constraint for the portfolio involving risk-free asset. Then, we propose a multi-period portfolio selection model with the objectives of maximizing the final expected wealth and minimizing the final cumulative risk. Furthermore, we design a multiple particle swarm optimization to solve it. Finally, we illustrate the effectiveness of the model and algorithm by using a real case.
Vorheriger Artikel A multiple ant colony system with random variable neighborhood descent for the dynamic vehicle routing problem with time windows
Nächster Artikel Convex clustering method for compositional data modeling

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Metadaten
Titel
A multi-period fuzzy mean-minimax risk portfolio model with investor’s risk attitude
verfasst von
Xingyu Yang
Weilong Liu
Sidou Chen
Yong Zhang
Publikationsdatum
01.10.2020
Verlag
Springer Berlin Heidelberg
Erschienen in
Soft Computing / Ausgabe 4/2021
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI
https://doi.org/10.1007/s00500-020-05351-3

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