The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

2010 ◽  
Vol 389 (10) ◽  
pp. 2070-2076 ◽  
Author(s):  
Wei Chen ◽  
Wei-Guo Zhang
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Pso Algorithm ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Improved Pso

scholarly journals Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs

2015 ◽  
Vol 2015 ◽  
pp. 1-12 ◽  
Author(s):  
Yanju Chen ◽  
Ye Wang
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Optimal Solution ◽  
Single Stage ◽  
Selection Problem ◽  
Stage Model ◽  
Two Stage ◽  
Portfolio Selection Problem ◽  
Fuzzy Portfolio Selection ◽  
Proposed Model

This paper studies a two-period portfolio selection problem. The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions. The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth. Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the second-stage programming problem is derived. As a result, the proposed two-stage model is equivalent to a single-stage model, and the analytical optimal solution of the two-stage model is obtained, which helps us to discuss the properties of the optimal solution. Finally, some numerical experiments are performed to demonstrate the new modeling idea and the effectiveness. The computational results provided by the proposed model show that the more risk-averse investor will invest more wealth in the risk-free security. They also show that the optimal invested amount in risky security increases as the risk-free return decreases and the optimal utility increases as the risk-free return increases, whereas the optimal utility increases as the transaction costs decrease. In most instances the utilities provided by the proposed two-stage model are larger than those provided by the single-stage model.

scholarly journals Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry

Symmetry ◽  
2020 ◽  
Vol 12 (10) ◽  
pp. 1639
Author(s):  
Dazhi Wang ◽  
Yanhua Chen ◽  
Hongfeng Wang ◽  
Min Huang
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Computation Time ◽  
Pso Algorithm ◽  
Selection Problem ◽  
Mixed Integer ◽  
Optimal Solutions ◽  
Portfolio Selection Problem ◽  
Non Parametric

In this research, we study the non-parametric portfolio selection problem with Value at Risk (VaR) minimization and establish a new enhanced Mixed Integer Linear Programming (MILP) formulation to obtain the optimal solutions considering the symmetric property of VaR. We identify that the new MILP formulation can significantly reduce the computation burden of the MILP solver CPLEX. To solve larger-scale practical portfolio selection problems in reasonable computation time, we also develop the Particle Swarm Optimization (PSO) algorithm integrating an efficient Fast Feasible Solution Detection (FFSD) scheme to obtain the near-optimal solutions. Using the simulated datasets with different distribution parameters and skewness and kurtosis patterns, some preliminary numerical results are provided to show the efficiency of the new formulation and FFSD scheme.

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
Sign in / Sign up

Export Citation Format

Share Document