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A Fuzzy Portfolio Model With Cardinality Constraints Based on Differential Evolution Algorithms

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  • JianDong He

    (Jiaxing Vocational and Technical College, China)

Abstract

Uncertain information in the securities market exhibits fuzziness. In this article, expected returns and liquidity are considered as trapezoidal fuzzy numbers. The possibility mean and mean absolute deviation of expected returns represent the returns and risks of securities assets, while the possibility mean of expected turnover represents the liquidity of securities assets. Taking into account practical constraints such as cardinality and transaction costs, this article establishes a fuzzy portfolio model with cardinality constraints and solves it using the differential evolution algorithm. Finally, using fuzzy c-means clustering algorithm, 12 stocks are selected as empirical samples to provide numerical calculation examples. At the same time, fuzzy c-means clustering algorithm is used to cluster the stock yield data and analyse the stock data comprehensively and accurately, which provides a reference for establishing an effective portfolio.

Suggested Citation

  • JianDong He, 2024. "A Fuzzy Portfolio Model With Cardinality Constraints Based on Differential Evolution Algorithms," International Journal of Data Warehousing and Mining (IJDWM), IGI Global, vol. 20(1), pages 1-14, January.
    • Handle: RePEc:igg:jdwm00:v:20:y:2024:i:1:p:1-14
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    References listed on IDEAS

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    1. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    2. Lulu Song & Ying Meng & Qingxin Guo & Xinchang Gong, 2023. "Improved Differential Evolution Algorithm for Slab Allocation and Hot-Rolling Scheduling Integration Problem," Mathematics, MDPI, vol. 11(9), pages 1-19, April.
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