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Multi-period cardinality constrained portfolio selection models with interval coefficients

Author

Listed:
  • Yong-Jun Liu

    (South China University of Technology)

  • Wei-Guo Zhang

    (South China University of Technology)

  • Jun-Bo Wang

    (City University of Hong Kong)

Abstract

In this paper, we discuss a multi-period portfolio selection problem in emerging markets. To provide investors with more choices, we propose four multi-period cardinality constrained portfolio selection models with interval coefficients in both objective functions and constraints. The proposed models can be equivalently represented as the parameter programming problems with interval coefficients in constraints. We utilize the definition of the possibility degree for interval inequality to handle the interval inequality constraints in the proposed models and express investors’ different risk attitudes. Then, the proposed models are transformed into deterministic models. After that, we design a new dynamic differential evolution algorithm with self-adapting control parameter to solve the transformed deterministic models. Finally, we provide a numerical example to illustrate the applications of the proposed models and demonstrate the effectiveness of the designed algorithm.

Suggested Citation

  • Yong-Jun Liu & Wei-Guo Zhang & Jun-Bo Wang, 2016. "Multi-period cardinality constrained portfolio selection models with interval coefficients," Annals of Operations Research, Springer, vol. 244(2), pages 545-569, September.
    • Handle: RePEc:spr:annopr:v:244:y:2016:i:2:d:10.1007_s10479-016-2117-4
    DOI: 10.1007/s10479-016-2117-4
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    References listed on IDEAS

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    8. Liu, Yong-Jun & Zhang, Wei-Guo & Zhang, Pu, 2013. "A multi-period portfolio selection optimization model by using interval analysis," Economic Modelling, Elsevier, vol. 33(C), pages 113-119.
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    10. Zhang, Wei-Guo & Zhang, Xi-Li & Xiao, Wei-Lin, 2009. "Portfolio selection under possibilistic mean-variance utility and a SMO algorithm," European Journal of Operational Research, Elsevier, vol. 197(2), pages 693-700, September.
    11. Zhang, Wei-Guo & Zhang, Xili & Chen, Yunxia, 2011. "Portfolio adjusting optimization with added assets and transaction costs based on credibility measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 353-360.
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    Cited by:

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    5. Fereshteh Vaezi & Seyed Jafar Sadjadi & Ahmad Makui, 2019. "A portfolio selection model based on the knapsack problem under uncertainty," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-19, May.

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