Portfolio Selection Models with Technical Analysis-Based Fuzzy Birandom Variables

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  • Li You
    Department of Production, Graduate School of IPS, Waseda University
  • Wang Bo
    School of Management and Engineering, Nanjing University
  • Watada Junzo
    Department of Production, Graduate School of IPS, Waseda University

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タイトル別名
  • A Fuzzy Multi-Objective Portfolio Selection Model with Piecewise Linear Transaction Costs

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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.

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