Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs
Joint Authors
Chen, Wei
Sun, Mengrong
Yang, Yiping
Ma, Hui
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-15
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity.
In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process.
In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk.
To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy.
Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach.
American Psychological Association (APA)
Chen, Wei& Ma, Hui& Yang, Yiping& Sun, Mengrong. 2014. Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-453363
Modern Language Association (MLA)
Chen, Wei…[et al.]. Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs. Journal of Applied Mathematics No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-453363
American Medical Association (AMA)
Chen, Wei& Ma, Hui& Yang, Yiping& Sun, Mengrong. Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-453363
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-453363