The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

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.

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Multi-asset portfolio selection problem with transaction costs

Mathematics and Computers in Simulation ◽

10.1016/0378-4754(93)e0079-k ◽

1995 ◽

Vol 38 (1-3) ◽

pp. 163-172 ◽

Cited By ~ 7

Author(s):

Marianne Akian ◽

Jose Luis Menaldi ◽

Agnès Sulem

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Selection Problem ◽

Portfolio Selection Problem ◽

Asset Portfolio

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An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes

Applied Mathematics and Computation ◽

10.1016/j.amc.2007.02.100 ◽

2007 ◽

Vol 191 (1) ◽

pp. 239-252 ◽

Cited By ~ 18

Author(s):

U Jin Choi ◽

Bong-Gyu Jang ◽

Hyeng-Keun Koo

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Selection Problem ◽

Portfolio Selection Problem ◽

Optimal Portfolio Selection

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Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry

Symmetry ◽

10.3390/sym12101639 ◽

2020 ◽

Vol 12 (10) ◽

pp. 1639

Author(s):

Dazhi Wang ◽

Yanhua Chen ◽

Hongfeng Wang ◽

Min Huang

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Computation Time ◽

Pso Algorithm ◽

Selection Problem ◽

Mixed Integer ◽

Optimal Solutions ◽

Portfolio Selection Problem ◽

Non Parametric

In this research, we study the non-parametric portfolio selection problem with Value at Risk (VaR) minimization and establish a new enhanced Mixed Integer Linear Programming (MILP) formulation to obtain the optimal solutions considering the symmetric property of VaR. We identify that the new MILP formulation can significantly reduce the computation burden of the MILP solver CPLEX. To solve larger-scale practical portfolio selection problems in reasonable computation time, we also develop the Particle Swarm Optimization (PSO) algorithm integrating an efficient Fast Feasible Solution Detection (FFSD) scheme to obtain the near-optimal solutions. Using the simulated datasets with different distribution parameters and skewness and kurtosis patterns, some preliminary numerical results are provided to show the efficiency of the new formulation and FFSD scheme.

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