A fuzzy multi-objective portfolio selection model with piecewise linear transaction costs

You Li*, Bo Wang, Junzo Watada

*この研究の対応する著者

    研究成果: Article査読

    2 被引用数 (Scopus)

    抄録

    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.

    本文言語English
    ページ(範囲)780-787
    ページ数8
    ジャーナルIEEJ Transactions on Electronics, Information and Systems
    134
    6
    DOI
    出版ステータスPublished - 2014

    ASJC Scopus subject areas

    • 電子工学および電気工学

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