文章基本信息

标题：Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm
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作者：Barati, M. ; Barati, M. ; Mohammadi, M. 等
期刊名称：International Journal of Industrial Engineering Computations
印刷版ISSN：1923-2926
电子版ISSN：1923-2934
出版年度：2016
卷号：7
期号：2
页码：217-228
DOI：10.5267/j.ijiec.2015.10.007
语种：English
出版社：Growing Science Publishing Company
摘要：Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA) was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods.
关键词：Fuzzy theory; Mean-semi variance; Minimum transaction lots; Multi-period portfolio; Transaction cost