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Credibilitic mean-variance model for multi-period portfolio selection problem with risk control

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Abstract

This paper proposes a credibilitic mean-variance model for multi-period portfolio selection problem in a fuzzy uncertain economic environment, which maximizes the terminal wealth and minimizes the risk of the terminal wealth. To avoid occurrence of bankruptcy in the whole investment horizon, a risk control constraint is imposed on the proposed model at the same time. In this model, the return rate of asset is quantified by credibilitic expected value and the risk is characterized by credibilitic variance. To solve the proposed model, a fuzzy programming technique is utilized to transform it into a single-objective programming model. Then, a novel hybrid genetic algorithm is designed for obtaining the optimal investment strategy. Finally, a numerical example is given to illustrate the application of the proposed model and a comparative analysis about solution algorithms are implemented.

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Acknowledgments

We would like to thank the Editor and the anonymous reviewers for their penetrating remarks and suggestions, which led to an improved version of this paper. This research was supported by the National Natural Science Foundation of China (No. 70825005), Major Project of the National Social Science Foundation of China (No. 11 & ZD156), GDUPS (2010) and the Fundamental Research Funds for the Central Universities.

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  1. School of Business Administration, South China University of Technology, Guangzhou, 510641, People’s Republic of China

    Wei-Guo Zhang & Yong-Jun Liu

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  1. Wei-Guo Zhang
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  2. Yong-Jun Liu
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Correspondence to Yong-Jun Liu.

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Zhang, WG., Liu, YJ. Credibilitic mean-variance model for multi-period portfolio selection problem with risk control. OR Spectrum 36, 113–132 (2014). https://doi.org/10.1007/s00291-013-0335-6

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