Credibilitic mean-variance model for multi-period portfolio selection problem with risk control

Authors:
Wei-Guo Zhang;Yong-Jun Liu
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
Venue:
OR Spectrum
Year:
2014

Citing 18
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Abstract

This paper proposes a credibilitic mean-variance model for multi-period portfolio selection problem in a fuzzy uncertain economic environment, which maximizes the terminal wealth and minimizes the risk of the terminal wealth. To avoid occurrence of bankruptcy in the whole investment horizon, a risk control constraint is imposed on the proposed model at the same time. In this model, the return rate of asset is quantified by credibilitic expected value and the risk is characterized by credibilitic variance. To solve the proposed model, a fuzzy programming technique is utilized to transform it into a single-objective programming model. Then, a novel hybrid genetic algorithm is designed for obtaining the optimal investment strategy. Finally, a numerical example is given to illustrate the application of the proposed model and a comparative analysis about solution algorithms are implemented.