Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints

Fuzzy Sets and Systems

Volumn 255, Issue , 2014, Pages 74-91

  Zhang, Peng ^a   Zhang, Wei Guo ^b  

^a WUHAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Cardinality constraints; Fuzzy number; Mean absolute deviation; Multiperiod fuzzy portfolio selection; The discrete approximate iteration method

Indexed keywords

COSTS; FUZZY SETS; ITERATIVE METHODS; NONLINEAR PROGRAMMING;

CARDINALITY CONSTRAINTS; DISCRETE APPROXIMATE ITERATIONS; FUZZY NUMBERS; MEAN ABSOLUTE DEVIATIONS; MULTIPERIOD FUZZY PORTFOLIO SELECTIONS;

ELECTRONIC TRADING;

EID: 84907711685     PISSN: 01650114     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.fss.2014.07.018     Document Type: Article

References (67)

1. K.P. Anagnostopoulos, and G. Mamanis The mean-variance cardinality constrained portfolio optimization problem: an experimental evaluation of five multiobjective evolutionary algorithms Expert Syst. Appl. 38 2011 14208 14217
2. R.D. Arnott, and W.H. Wagner The measurement and control of trading costs Financ. Anal. J. 6 1990 73 80
3. D. Bertsimas, and D. Pachamanova Robust multiperiod portfolio management in the presence of transaction costs Comput. Oper. Res. 35 2008 3 17
4. D. Bertsimas, and R. Shioda Algorithms for cardinality-constrained quadratic optimization Comput. Optim. Appl. 43 2009 1 22
5. D. Bienstock Computational study of a family of mixed-integer quadratic programming problems Math. Program. 74 1996 121 140
6. G.C. Calafiore Multi-period portfolio optimization with linear control policies Automatica 44 10 2008 2463 2473
7. C. Carlsson, and R. Fullér On possibilistic mean value and variance of fuzzy numbers Fuzzy Sets Syst. 122 2001 315 326
8. C. Carlsson, R. Fullér, and P. Majlender A possibilistic approach to selecting portfolios with highest utility score Fuzzy Sets Syst. 131 2002 13 21
9. F. Cesarone, A. Scozzari, and F. Tardella A new method for mean-variance portfolio optimization with cardinality constraints Ann. Oper. Res. 205 2013 213 234
10. U. Çlikyurt, and S. Öekici Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach Eur. J. Oper. Res. 179 1 2007 186 202
11. X.T. Cui, X.J. Zheng, S.S. Zhu, and X.L. Sun Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems J. Glob. Optim. 56 2013 1409 1423
12. G.F. Deng, W.T. Lin, and C.C. Lo Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization Expert Syst. Appl. 39 2012 4558 4566
13. X. Deng, and R.J. Li A portfolio selection model with borrowing constraint based on possibility theory Appl. Soft Comput. 12 2012 754 758
14. D. Dubois, and H. Prade Possibility Theory 1988 Plenum Press New York
15. C.D. Feinstein, and M.N. Thapa Notes: a reformation of a mean-absolute deviation portfolio optimization Manag. Sci. 39 1993 1552 1558
16. A. Fernández, and S. Gómez Portfolio selection using neural networks Comput. Oper. Res. 34 2007 1177 1191
17. S. Giove, S. Funari, and C. Nardelli An interval portfolio selection problems based on regret function Eur. J. Oper. Res. 170 2006 253 264
18. N. GülpInar, B. Rustem, and R. Settergren Multistage stochastic mean-variance portfolio analysis with transaction cost Innovations in Financial and Economic Networks vol. 3 2003 46 63
19. N. GüpInar, and B. Rustem Worst-case robust decisions for multi-period mean-variance portfolio optimization Eur. J. Oper. Res. 183 3 2007 981 1000
20. N.H. Hakansson Multi-period mean-variance analysis: toward a general theory of portfolio choice J. Finance 26 1971 857 884
21. B. Heidergott, G.J. Olsder, and J.V. Woude Max Plus at Work - Modeling and Analysis of Synchronized Systems: A Course on Max-Plus Algebra and Its Applications 2006 Princeton University Press
22. X. Huang Mean-variance model for fuzzy capital budgeting Comput. Ind. Eng. 55 2008 34 47
23. X. Huang Mean-semivariance models for fuzzy portfolio selection J. Comput. Appl. Math. 217 2008 1 8
24. X. Huang Risk curve and fuzzy portfolio selection Comput. Math. Appl. 55 2008 1102 1112
25. M. Inuiguchi, and T. Tanino Portfolio selection under independent possibilistic information Fuzzy Sets Syst. 115 2000 83 92
26. H. Konno, and H. Yamazaki Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market Manag. Sci. 37 5 1991 519 531
27. K.K. Lai, S.Y. Wang, J.P. Xu, S.S. Zhu, and Y. Fang A class of linear interval programming problems and its application to portfolio selection IEEE Trans. Fuzzy Syst. 10 2002 698 704
28. H.A. Le Thi, M. Moeini, and T.P. Dinh Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA Comput. Manag. Sci. 6 2009 459 475
29. H.A. Le Thi, and M. Moeini Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm J. Optim. Theory Appl. 2014 10.1007/s10957-012-0197-0 forthcoming
30. T. León, V. Liem, and E. Vercher Viability of infeasible portfolio selection problems: a fuzzy approach Eur. J. Oper. Res. 139 2002 178 189
31. D. Li, T.F. Chan, and W.L. Ng Safety-first dynamic portfolio selection Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 4 4 1998 585 600
32. D. Li, and W.L. Ng Optimal dynamic portfolio selection: multiperiod mean-variance formulation Math. Finance 10 3 2000 387 406
33. D. Li, X. Sun, and J. Wang Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection Math. Finance 16 2006 83 101
34. X. Li, Y. Zhang, H.S. Wong, and Z.F. Qin A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns J. Comput. Appl. Math. 233 2009 264 278
35. X. Li, Z. Qin, and S. Kar Mean-variance-skewness model for portfolio selection with fuzzy returns Eur. J. Oper. Res. 202 2010 239 247
36. Y.J. Liu, W.G. Zhang, and W.J. Xu Fuzzy multi-period portfolio selection optimization models using multiple criteria Automatica 48 2012 3042 3053
37. Y.J. Liu, W.G. Zhang, and P. Zhang A multi-period portfolio selection optimization model by using interval analysis Econ. Model. 33 2013 113 119
38. H.M. Markowitz Portfolio selection J. Finance 7 1952 77 91
39. J. Mossion Optimal multiperiod portfolio policies J. Bus. 41 1968 215 229
40. W. Murray, and H. Shek A local relaxation method for the cardinality constrained portfolio optimization problem Comput. Optim. Appl. 53 2012 681 709
41. M.Ç. PInar Robust scenario optimization based on downside-risk measure for multi-period portfolio selection OR Spektrum 29 2007 295 309
42. R. Ruiz-Torrubiano, and A. Suarez Hybrid approaches and dimensionality reduction for portfolio selection with cardinality constrains IEEE Comput. Intell. Mag. 5 2010 92 107
43. S.J. Sadjadi, S.M. Seyedhosseini, and Kh. Hassanlou Fuzzy multi period portfolio selection with different rates for borrowing and lending Appl. Soft Comput. 11 2011 3821 3826
44. D.X. Shaw, S. Liu, and L. Kopman Lagrangian relaxation procedure for cardinality-constrained portfolio optimization Optim. Methods Softw. 23 2008 411 420
45. Y. Simaan Estimation risk in portfolio selection: the mean variance model and the mean-absolute deviation model Manag. Sci. 43 1997 1437 1446
46. H. Soleimani, H.R. Golmakani, and M.H. Salimi Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm Expert Syst. Appl. 36 2009 5058 5063
47. M.G. Speranza Linear programming models for portfolio optimization J. Finance 14 1993 107 123
48. X.L. Sun, X.J. Zheng, and D. Li Recent advances in mathematical programming with semi-continuous variables and cardinality constraint J. Oper. Res. Soc. China 1 2013 55 77
49. H. Tanaka, and P. Guo Portfolio selection based on upper and lower exponential possibility distributions Eur. J. Oper. Res. 114 1999 115 126
50. H. Tanaka, P. Guo, and I.B. Türksen Portfolio selection based on fuzzy probabilities and possibility distributions Fuzzy Sets Syst. 111 2000 387 397
51. E. Vercher, J. Bermudez, and J. Segura Fuzzy portfolio optimization under downside risk measures Fuzzy Sets Syst. 158 2007 769 782
52. S.Y. Wang, and S.S. Zhu On fuzzy portfolio selection problems Fuzzy Optim. Decis. Mak. 1 2002 361 377
53. J. Watada Fuzzy portfolio selection and its applications to decision making Tatra Mt. Math. Publ. 13 1997 219 248
54. S.Z. Wei, and Z.X. Ye Multi-period optimization portfolio with bankruptcy control in stochastic market Appl. Math. Comput. 186 1 2007 414 425
55. M. Woodside-Oriakhi, C. Lucas, and J.E. Beasley Heuristic algorithms for the cardinality constrained efficient frontier Eur. J. Oper. Res. 213 2011 538 550
56. W. Yan, R. Miao, and S.R. Li Multi-period semi-variance portfolio selection: model and numerical solution Appl. Math. Comput. 194 2007 128 134
57. W. Yan, and S.R. Li A class of multi-period semi-variance portfolio selection with a four-factor futures price model J. Appl. Math. Comput. 29 2009 19 34
58. A. Yoshimoto The mean-variance approach to portfolio optimization subject to transaction costs J. Oper. Res. Soc. Jpn. 39 1996 99 117
59. M. Yu, S. Takahashi, H. Inoue, and S.Y. Wang Dynamic portfolio optimization with risk control for absolute deviation model Eur. J. Oper. Res. 201 2 2010 349 364
60. W.G. Zhang, and Z.K. Nie On admissible efficient portfolio selection problem Appl. Math. Comput. 159 2004 357 371
61. W.G. Zhang, W.A. Liu, and Y.L. Wang On admissible efficient portfolio selection: models and algorithms Appl. Math. Comput. 176 2006 208 218
62. W.G. Zhang, Y.L. Wang, Z.P. Chen, and Z.K. Nie Possibilistic mean-variance models and efficient frontiers for portfolio selection problem Inf. Sci. 177 2007 2787 2801
63. W.G. Zhang Possibilistic mean-standard deviation models to portfolio selection for bounded assets Appl. Math. Comput. 189 2007 1614 1623
64. W.G. Zhang, and W.L. Xiao On weighted lower and upper possibilistic means and variances of fuzzy numbers and its application in decision Knowl. Inf. Syst. 18 2009 311 330
65. W.G. Zhang, Y.J. Liu, and W.J. Xu A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs Eur. J. Oper. Res. 222 2012 41 349
66. W.G. Zhang, Y.J. Liu, and W.J. Xu A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control Fuzzy Sets Syst. 246 2014 107 126
67. S.S. Zhu, D. Li, and S.Y. Wang Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation IEEE Trans. Autom. Control 49 3 2004 447 457