Possibilistic Approaches to Portfolio Selection Problem with General Transaction Costs and a CLPSO Algorithm

Authors:
Xi-Li Zhang;Wei-Guo Zhang;Wei-Jun Xu;Wei-Lin Xiao
Affiliations:
School of Business Administration, South China University of Technology, Guangzhou, People's Republic of China 510641;School of Business Administration, South China University of Technology, Guangzhou, People's Republic of China 510641;School of Business Administration, South China University of Technology, Guangzhou, People's Republic of China 510641;School of Business Administration, South China University of Technology, Guangzhou, People's Republic of China 510641
Venue:
Computational Economics
Year:
2010

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Abstract

The structure of portfolio selection depends essentially on the form of transaction cost. In this paper, we deal with the portfolio selection problems with general transaction costs under the assumption that the returns of assets obey LR-type possibility distributions. For any type of transaction costs, we employ a comprehensive learning particle swarm optimizer algorithm to obtain the optimal portfolio. Furthermore, we offer numerical experiments of different forms of transaction costs to illustrate the effectiveness of the proposed model and approach.