TY - JOUR
T1 - A fuzzy multi-objective portfolio selection model with piecewise linear transaction costs
AU - Li, You
AU - Wang, Bo
AU - Watada, Junzo
PY - 2014
Y1 - 2014
N2 - In this paper, we studied a multi-objective portfolio selection problem with piecewise linear transaction costs in a fuzzy environment. Transaction costs are expenses incurred when buying or selling securities and they are a burden on investors who frequently make trades to balance their portfolio. To better evaluate portfolio performance with transaction costs, this paper extends a previous study to a new model called fuzzy multi-objective portfolio selection model with piecewise linear transaction costs. A fuzzy simulation-based particle swarm optimization algorithm is designed to solve the model considering investors' individual risk attitude. In addition, several numerical examples are provided to illustrate the effectiveness of this model and algorithm. A conclusion is drawn at the end of this paper.
AB - In this paper, we studied a multi-objective portfolio selection problem with piecewise linear transaction costs in a fuzzy environment. Transaction costs are expenses incurred when buying or selling securities and they are a burden on investors who frequently make trades to balance their portfolio. To better evaluate portfolio performance with transaction costs, this paper extends a previous study to a new model called fuzzy multi-objective portfolio selection model with piecewise linear transaction costs. A fuzzy simulation-based particle swarm optimization algorithm is designed to solve the model considering investors' individual risk attitude. In addition, several numerical examples are provided to illustrate the effectiveness of this model and algorithm. A conclusion is drawn at the end of this paper.
KW - Fuzzy multi-objective portfolio selection
KW - Particle swarm optimization
KW - Piecewise linear transaction cost
KW - Value at risk
UR - http://www.scopus.com/inward/record.url?scp=84901769761&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84901769761&partnerID=8YFLogxK
U2 - 10.1541/ieejeiss.134.780
DO - 10.1541/ieejeiss.134.780
M3 - Article
AN - SCOPUS:84901769761
VL - 134
SP - 780
EP - 787
JO - IEEJ Transactions on Electronics, Information and Systems
JF - IEEJ Transactions on Electronics, Information and Systems
SN - 0385-4221
IS - 6
ER -