An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-08-09
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
The major issues for mean-variance-skewness models are the errors in estimations that cause corner solutions and low diversity in the portfolio.
In this paper, a multiobjective fuzzy portfolio selection model with transaction cost and liquidity is proposed to maintain the diversity of portfolio.
In addition, we have designed a multiobjective evolutionary algorithm based on decomposition of the objective space to maintain the diversity of obtained solutions.
The algorithm is used to obtain a set of Pareto-optimal portfolios with good diversity and convergence.
To demonstrate the effectiveness of the proposed model and algorithm, the performance of the proposed algorithm is compared with the classic MOEA/D and NSGA-II through some numerical examples based on the data of the Shanghai Stock Exchange Market.
Simulation results show that our proposed algorithm is able to obtain better diversity and more evenly distributed Pareto front than the other two algorithms and the proposed model can maintain quite well the diversity of portfolio.
The purpose of this paper is to deal with portfolio problems in the weighted possibilistic mean-variance-skewness (MVS) and possibilistic mean-variance-skewness-entropy (MVS-E) frameworks with transaction cost and liquidity and to provide different Pareto-optimal investment strategies as diversified as possible for investors at a time, rather than one strategy for investors at a time.
American Psychological Association (APA)
Yue, Wei& Wang, Yuping& Dai, Cai. 2015. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-15.
https://search.emarefa.net/detail/BIM-1074160
Modern Language Association (MLA)
Yue, Wei…[et al.]. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity. Mathematical Problems in Engineering No. 2015 (2015), pp.1-15.
https://search.emarefa.net/detail/BIM-1074160
American Medical Association (AMA)
Yue, Wei& Wang, Yuping& Dai, Cai. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-15.
https://search.emarefa.net/detail/BIM-1074160
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074160