PSO-based possibilistc mean-variance model with transaction costs

Authors:
Wei Chen;Ling Yang;Fasheng Xu
Affiliations:
School of Information, Capital University of Economics and Business, Beijing, China;Capital University of Economics and Business, Beijing, China;School of Science, Jinan University, Jinan, P.R. China
Venue:
CCDC'09 Proceedings of the 21st annual international conference on Chinese control and decision conference
Year:
2009

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Abstract

In this paper, based on possibilistic mean and variance of fuzzy numbers a portfolio selection rebalancing problem is studied. Considering the importance of transaction costs for rebalancing the portfolio, a possibilistic portfolio model with transaction cost is proposed, in which transaction cost is assumed as a no-convex-no-concave function instead of V-Shaped function. Due to proposed problem is a non-smooth programming problem, an improved particle swarm optimization is designed. At last, a numerical example is given to illustrate our proposed effective approach.