Multiperiod Portfolio Performance Evaluation Model Based on Possibility Theory | IEEE Journals & Magazine | IEEE Xplore

Multiperiod Portfolio Performance Evaluation Model Based on Possibility Theory


Abstract:

This article discusses a multiperiod fuzzy portfolio optimization problem with some realistic constraints, in which the returns of risky assets are characterized by fuzzy...Show More

Abstract:

This article discusses a multiperiod fuzzy portfolio optimization problem with some realistic constraints, in which the returns of risky assets are characterized by fuzzy variables. First, we extend the possibilistic mean value of a normal fuzzy number to a generalized case, and define two performance evaluation indicators to measure the effects of the negative and the positive volatilities on portfolio selection. Second, we propose a multiperiod portfolio performance evaluation model under the realistic assumptions of return demand, risk control, cardinality constraint, and round lots constraint. Then, we design a novel feasibility-based particle swarm optimization (NFBPSO) algorithm to solve the proposed model. Finally, we provide a numerical example to illustrate the idea of our model and demonstrate the effectiveness of the designed algorithm.
Published in: IEEE Transactions on Fuzzy Systems ( Volume: 28, Issue: 12, December 2020)
Page(s): 3391 - 3405
Date of Publication: 11 November 2019

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