Interpolative Boolean Approach for Fuzzy Portfolio Selection

2019 ◽  
pp. 23-46 ◽  
Author(s):  
Aleksandar Rakićević ◽  
Pavle Milošević ◽  
Ana Poledica ◽  
Ivana Dragović ◽  
Bratislav Petrović
Keyword(s):  
Portfolio Selection ◽  
Fuzzy Portfolio Selection

scholarly journals Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs

2015 ◽  
Vol 2015 ◽  
pp. 1-12 ◽  
Author(s):  
Yanju Chen ◽  
Ye Wang
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Optimal Solution ◽  
Single Stage ◽  
Selection Problem ◽  
Stage Model ◽  
Two Stage ◽  
Portfolio Selection Problem ◽  
Fuzzy Portfolio Selection ◽  
Proposed Model

This paper studies a two-period portfolio selection problem. The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions. The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth. Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the second-stage programming problem is derived. As a result, the proposed two-stage model is equivalent to a single-stage model, and the analytical optimal solution of the two-stage model is obtained, which helps us to discuss the properties of the optimal solution. Finally, some numerical experiments are performed to demonstrate the new modeling idea and the effectiveness. The computational results provided by the proposed model show that the more risk-averse investor will invest more wealth in the risk-free security. They also show that the optimal invested amount in risky security increases as the risk-free return decreases and the optimal utility increases as the risk-free return increases, whereas the optimal utility increases as the transaction costs decrease. In most instances the utilities provided by the proposed two-stage model are larger than those provided by the single-stage model.

A hybrid FA–SA algorithm for fuzzy portfolio selection with transaction costs

2016 ◽  
Vol 269 (1-2) ◽  
pp. 129-147 ◽  
Author(s):  
Wei Chen ◽  
Yun Wang ◽  
Mukesh Kumar Mehlawat
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Fuzzy Portfolio Selection
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