Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
MetadataShow full item record
The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too small or even no available data to estimate a probability distribution, we have to invite some domain experts to evaluate the belief degrees of asset returns. Then, asset returns can be described as uncertain variables. In this paper, we discuss a multi-period portfolio selection problem under uncertain environment, which maximizes the final wealth and minimizes the risk of investment. Unlike the common method to describe the multi-period portfolio selection problem as a bi-objective optimization model, we formulate this uncertain multi-period portfolio selection problem by a new method in three steps with two single objective optimization models. And, we consider the influence of transaction cost and bankruptcy of investor. Then, the proposed uncertain optimization models are transformed into the corresponding crisp optimization models and we use the genetic algorithm combined with penalty function method to solve them. Finally, a numerical example is given to show the effectiveness and practicability of proposed models and method.
Showing items related by title, author, creator and subject.
Burt, Christina Naomi (2008)In the surface mining industry the equipment selection problem involves choosing a fleet of trucks and loaders that have the capacity to move the materials specified in the mine plan. The optimisation problem is to select ...
Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty setLing, A.; Sun, Jie; Wang, M. (2019)Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed ...
Sun, Y.; Aw, G.; Teo, K.; Zhu, Y.; Wang, Xiangyu (2016)This paper develops a minimax model for a multi-period portfolio selection problem. An analytical solution is obtained and numerical simulations demonstrate the superiority of the multi-period model over its corresponding ...