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

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  • Chen, Wei
  • Zhang, Wei-Guo

Abstract

In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization (PSO) algorithm because traditional optimization algorithms fail to work efficiently for our proposed problem. Finally, we offer a numerical example to illustrate the proposed effective approaches and compare the admissible portfolio efficient frontiers under different constraints.

Suggested Citation

  • Chen, Wei & Zhang, Wei-Guo, 2010. "The admissible portfolio selection problem with transaction costs and an improved PSO algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2070-2076.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:10:p:2070-2076
    DOI: 10.1016/j.physa.2010.01.016
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    References listed on IDEAS

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    Cited by:

    1. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    2. Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
    3. Deng, Xue & Chen, Jiaxing & Wang, Xu & Geng, Fengting, 2022. "Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 59-78.
    4. Marco Corazza & Giacomo di Tollo & Giovanni Fasano & Raffaele Pesenti, 2021. "A novel hybrid PSO-based metaheuristic for costly portfolio selection problems," Annals of Operations Research, Springer, vol. 304(1), pages 109-137, September.
    5. Wei Chen & Yun Wang & Mukesh Kumar Mehlawat, 2018. "A hybrid FA–SA algorithm for fuzzy portfolio selection with transaction costs," Annals of Operations Research, Springer, vol. 269(1), pages 129-147, October.

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